Which of the following is not a valid property of the Heath-Jarrow-Morton (HJM) interest-rate framework?
A) The model may be calibrated to be consistent with any initial yield curve.
B) The tree version of the model has rates of all remaining maturities at each node of the tree.
C) The model fits volatilities of rates of all maturities.
D) The model is a one-factor model.
Correct Answer:
Verified
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