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问题如下：

A client seeking advice on her fixed-income portfolio observes the price and yield-to-maturity of one-year (r₁) and two-year (r₂) annual coupon government benchmark bonds currently available in the market. Which of the following statements best describes how the analyst can determine a breakeven reinvestment rate in one year's time to help decide whether to invest now for one or two years?

选项：

A.

As the two-year rate involves intermediate cash flows, divide the square root of (1 + r₂ ) by (1 + r₁) and subtract 1 to arrive at a breakeven reinvestment rate for one year in one year's time.

B.

Since the first year's returns are compounded in the second year, set (1 + r₁ ) multiplied by 1 plus the breakeven reinvestment rate equal to (1 + r₂ )² and solve for the breakeven reinvestment rate.

C.

Since the breakeven reinvestment involves a zero-coupon cash flow, first substitute the one-year rate r₁ ) into the two-year bond price equation to solve for the two-year spot or zero rate (z₂ ), then set (1 + r₁ ) × (1 + breakeven reinvestment rate) = (1 + z₂ )² and solve for the breakeven reinvestment rate.

解释：

C is correct.

The one-year annual rate equals the one-year zero rate, as it involves a single cash flow at maturity (z₁ = r₁). Since the breakeven reinvestment rate involves a single cash flow at maturity, substitute the one-year rate (r₁) into the two-year bond price equation to solve for z₂, then set (1 + r₁) × (1 + breakeven reinvestment rate) = (1 + z₂)² and solve for the breakeven reinvestment rate (IFR_1,1).

中文解析：

本题考察的是计算Implied forward rates(IFR)，也就是题干说的：观察到市场上现有的一年期(r₁)和两年(r₂)年期政府基准债券的价格和到期收益率，想确定一年内的盈亏平衡再投资率。

考察的公式为：

基于此公式，只有C选项描述正确。