NO.PZ2019052801000035
问题如下:
Assume that the annualized 6-month spot rate is 5.2%, the 1-year spot rate is unknown, both spots are continuously compounded rates. A $100 face value, 1-year, 6% semiannual bond is priced at $97.83. Calculate the 1-year spot rate:
选项:
A.7.63%
B.8.18%
C.9.21%
D.10.96%
解释:
B is correct.
考点:Interest Rate
解析:
annualized 6-month spot rate表示为 ,1-year spot rate
;
;
这里的N为什么不是0.5,1?