NO.PZ2018123101000007
问题如下:
Below shows the yields of zero-coupon bond
The forward price for a two-year zero-coupon bond beginning in three years is known to be 0.8499. The price today of the five-year zero-coupon bond is closest to:
选项:
A.0.7036
B.0.7835
C.0.9524
解释:
A is correct.
考点:考察Forward price
解析:站在未来第3年年末一个2年期零息债券的价格为0.8499,即Forward price等于0.8499;则站在现在时刻,该债券为一个5年期的零息债券,其价值为:
这个答案实在不知道所云,麻烦详细拆解讲一下