为什么用第7年和第2年的spot rate？

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NO.PZ202305230100003804

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：

–0.191%

–0.001%

–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.

为什么用第7年和第2年的spot rate？

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1 个答案

pzqa015 · 2023年12月08日

嗨，努力学习的PZer你好：

（1+s2)^2*(1+f(2,5)^5=(1+s7)^7

题目让计算的是f(2,5)，所以要用s2和s7

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ202305230100003804 问题如下 Whiof the following choices is the closest to the impliefive-yeforwarrate in two years for Swiss government bon? A.–0.191% B.–0.001% C.–0.317% The correanswer is The impliefive-yeforwarrate in two years is the 2y5y rate. To calculate, we use the seven-yeSwiss government rate anthe two-yeSwiss government rate, follows:2y5y IFR = [(1 – 0.003402)^7/(1 – 0.007133)^2]^(1/5) – 1 = 0.191%.ChoiB represents the 5y2y implieforwarrate, anChoiC represents the 2y3y implieforwarrate. 请问为什么不能用第一年到第七年的spot rate来计算，而要用第七年spot rate呢

2024-10-04 16:21 1 · 回答

为什么用第7年和第2年的spot rate？

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