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  12.    Assume the six-month LIBOR is 6% and its annualized volatility is 20%. Based on this information, the six-month LIBOR should not exceed which of the following with 95% confidence level within a year?
　　A.    7.97%
　　B.    7.60%
　　C.    7.40%
　　D.    7.02%
　　答疑：There is a 95% probability that LIBOR will be less than 6%+(1.65)(0.20)(6%)=7.98%. Thus, with a 95% confidence level, LIBOR should not exceed 7.90%.
　　注意：劃線部分，一般的題目都是直接讓關(guān)鍵值(1.65)乘以波動(dòng)率(0.20)，而此處卻是0.20乘以6%，主要是因?yàn)長(zhǎng)IBOR的報(bào)價(jià)是依照差價(jià)報(bào)價(jià)；而這里的波動(dòng)率20%也是在差價(jià)基礎(chǔ)上求得的波動(dòng)率，所以需要乘以20%。