NO.PZ2016022702000008
问题如下:
The one-year spot rate r(1) = 4%, the forward rate for a one-year loan beginning in one year is 6%, and the forward rate for a one-year loan beginning in two years is 8%. Which of the following rates is closest to the three-year spot rate?
选项:
A.4.0%
B.6.0%
C.8.0%
解释:
B is correct.
Applying the forward rate model. we find
So ,
考点:通过forward rate计算spot rate
通过forward rate model,将r(1)、f(1,1)和f(2,1)代入上式,可得r(3)=5.987%。
请问这题怎么画时间轴