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?