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12345678wdv · 2024年02月28日

这道题这样的解法对吗

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000017

问题如下：

The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5%, what are the (semi-annually compounded) forward rates for a six-month periods beginning in six, 12, and 18 months?

选项：

解释：

The forward rates are

2 X ( 1.02752 /1.025-1) = 0.060012

2 X ( 1.033 /1.02752- 1) = 0.070037

2 X ( 1.03254 /1.033 - 1)= 0.080073

If all rates were continuously compounded, the forward rates would be 6%, 7%, and 8%. Because we are dealing with a semi-annually compounded rate, they are slightly different: 6.0012%, 7 .0037%, and 8.0073%.



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DD仔_品职助教 · 2024年02月29日

嗨，爱思考的PZer你好：


不对哦，具体做法请看下图

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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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