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水瓶公主 · 2023年02月24日

为什么时间不是0.5，1，1.5，而是123？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000017

问题如下：

The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5%, what are the (semi-annually compounded) forward rates for a six-month periods beginning in six, 12, and 18 months?

解释：

The forward rates are

2 X ( 1.02752 /1.025-1) = 0.060012

2 X ( 1.033 /1.02752- 1) = 0.070037

2 X ( 1.03254 /1.033 - 1)= 0.080073

If all rates were continuously compounded, the forward rates would be 6%, 7%, and 8%. Because we are dealing with a semi-annually compounded rate, they are slightly different: 6.0012%, 7 .0037%, and 8.0073%.

为什么时间不是0.5，1，1.5计算，而是123？

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1 个答案

DD仔_品职助教 · 2023年02月25日

嗨，努力学习的PZer你好：


同学你好，

因为题目明确说了(semi-annually compounded)，也就是半年复利一次，所以我们在计算的时候时间用的就是几个半年，具体可以参考下图关于第一个计算的例子：

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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