为什么用第7年和第2年的spot rate？

问题如下：

Which of the following choices is the closest to the implied five-year forward rate in two years for Swiss government bonds?

选项：

A.

–0.191%

B.

–0.001%

C.

–0.317%

解释：

The correct answer is A. The implied five-year forward rate in two years is the 2y5y rate. To calculate, we use the seven-year Swiss government rate and the two-year Swiss government rate, as follows:

2y5y IFR = [(1 – 0.003402)^7/(1 – 0.007133)^2]^(1/5) – 1 = 0.191%.

Choice B represents the 5y2y implied forward rate, and Choice C represents the 2y3y implied forward rate.