NO.PZ2018123101000025
问题如下:
Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.
If Smith buys a government security, he would have an annualized return that is nearly risk free. Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:
选项:
A.
0.9662
B.
0.9694
C.
0.9780
解释:
B is correct.
考点:考察Forward price概念
解析:由公式可求
the forward price of a one-year government bond to be issued in one year 是指F(1,1)
没说at the beginning 和多少years