NO.PZ2018062006000088
问题如下:
The 1-year spot rate is 1.02%, 2-year spot rate is 1.65% and 3-year spot rate is 2.15%. Calculate 1-year implied forward rate two years from now.
选项:
A.5.13%
B.3.16%
C.2.33%
解释:
B is correct.
考点:spot rate & forward rate
解析:(1+S2)2 × [1+f(2,1)] = (1+S3)3
把数据代入公式,就可以反求出f(2,1)=3.16%,故选项B正确。
这道题不理解解题思路是什么
第一年难道不是就是1.02吗?