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AnnaZ · 2023年03月20日

问一道题

  1. CFA II
  2. Fixed Income

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

P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)

P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}

P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}

F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694

老师，在这个题型里，就不需要考虑2那个时间点上的现金流了对吗，都用1/（1+X%）来计算当年的forward price吗？

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1 个答案

pzqa015 · 2023年03月20日

嗨，努力学习的PZer你好：


对呀

用到的公示是

（1+s1)(1+f(1,1))=(1+s2)^2

左右同时用1除，就是P1*F(1,1)=P2，F(1,1)就是要计算的forward price。

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