Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion.
John Hull Quotes
Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends on the level of the rate. When the rate is very high, that direction is downward; when the rate is very low, it is upward.
Similar Quotes
Cricket is the greatest game that the wit of man has yet devised.
- Sir Pelham WarnerAdvertising is selling Twinkies to adults.
- Donald R. VanceThe struggle of the male to learn to listen to and respect his own intuitive, inner prompt...
- Herb GoldbergEach generation of the church in each setting has the responsibility of communicating the ...
- Francis SchaefferEach had defended his own country; the Germans Germany, the Frenchmen France; they had don...
- Ernst TollerComments on: "John Hull Quotes: Our tree is actually a tree of the short-term interest rate. The average..."
Share with your friends