NO.PZ2020021204000050
问题如下：
Suppose that the six-month Libor rate is 5%, the forward Libor rate for the period between 0.5 and 1.0 year is 5.6% and the forward Libor rate for the period between 1.0 and 1.5 years is 6.0. The two-year Libor swap rate is 5.7%. All risk-free rates are 4.5%., what is the 1.5-year Libor zero rate expressed with semi-annual compounding?
解释：
Using six-month forwards, 100 would grow to:
100 X (1 + 0.05/2) X (1 + 0.056/2) X (1 + 0.06/2) = 108.5311
If R is the 1.5 year zero rate with semi-annual compounding:
100 X (1 + R/2)^3 = 108.5311
This can be solved to give R = 0.055329. The zero rate is
5.5329%.
往前折现法也可以吧？
