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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：划线部分，一般的题目都是直接让关键值(1.65)乘以波动率(0.20)，而此处却是0.20乘以6%，主要是因为LIBOR的报价是依照差价报价；而这里的波动率20%也是在差价基础上求得的波动率，所以需要乘以20%。