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Olivia.W🌸 · 2023年12月08日

为什么用第7年和第2年的spot rate?

* 问题详情,请 查看题干

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:

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.

为什么用第7年和第2年的spot rate?

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!