NO.PZ2020021204000038
问题如下:
The Eurodollar futures price for a contract that matures in three years is 95.75. The standard deviation of the change in the short rate in one year is 0.8%. the continuously compounded threeyear zero rate is 4.12%, what is the continuously compounded 3.25-year rate?
选项:
解释:
(0.04255X0.25+0.0412X3)/3.25 = 0.0413 or 4.13%
小皇冠的第一题遇到这道题目,得出0.04255的一系列步骤里,libor转化那里为什么是*365/360?然后为什么是按季度离散复利呢?