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台风来了 · 2024年01月17日

关于题目的forward price的理解。

  1. CFA II
  2. Fixed Income

NO.PZ2016022702000009

问题如下：

The one-year spot rate r(1) = 5% and the forward price for a one-year zero-coupon bond beginning in one year is 0.9346. The spot price of a two-year zero-coupon bond is closest to:

选项：

A.

0.87.

B.

0.89.

C.

0.93.

解释：

B is correct.

We can convert spot rates to spot prices and use the forward pricing model, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524

The forward pricing model is P(T*+T)=P(T*)F(T*,T),

so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901

考点：forward pricing model

我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forward pricing model，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。

老师，您好！题目所说“the forward price for a one-year zero-coupon bond beginning in one year is 0.9346”，我理解这个远期合约的价格是远期的流入现金流在第二年年末经过f1,1 和 r1两次折现后得到的0.9346，即0.9346 = (1/r1)*(1/f1,1)，是这样吗？

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1 个答案

pzqa31 · 2024年01月18日

嗨，从没放弃的小努力你好：


不是，是F(1,1)，也就是用f(1,1)折现的，在T=1这个时间点的远期价格。可以参考老师上课讲过的相关知识点。

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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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