NO.PZ2018062006000087
问题如下:
Which of the following rates is best described as the break-even reinvestment rate?
选项:
A.Spot rate.
B.Implied forward rate.
C.Par rate.
解释:
B is correct.
By definition, the implied forward rate is the break-even reinvestment rate which is calculated from spot rates.
考点:interest rate
解析:一个implied forward rate,是由两个Spot rate隐含出来的。如投资7年的Spot rate是S7 和投资5年的Spot rate是S5 。由此可得:5年后的时间点起,未来两年的利率5y2y就是隐含的forward rate,即 break-even reinvestment rate,故选项B正确。
知道forward定义和计算, 不理解为什么是break-even reinvestment rate