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Captain America · 2024年04月18日

请问这5个forward rate是根据7%剥离出来的吗?

NO.PZ2023040701000003

问题如下:

Scott recognizes that this US Treasury bond may not be suitable for investors who want zero reinvestment risk. He suggests that an alternative instrument is a US Treasury zero-coupon note. It is newly issued, with a five-year term, and priced at $71.30 ($100.00 face value) to yield 7.00% to maturity. Scott says that some investors may purchase this Treasury zero-coupon note today and hold it for five years to maturity. Scott continues by stating that other investors may purchase this Treasury zero-coupon note in two years and then hold it for three years to maturity. Scott asks Bird to determine the forward rate that would cause investors to be indifferent about either purchasing the Treasury zero-coupon note today or purchasing it two years from today.

Current spot rates and extrapolated one year forward rates are provided in Exhibit 1.

Using the information provided in Exhibit 1, the forward rate at which an investor would be indifferent to purchasing the US Treasury zero-coupon note today or two years from today is closest to:

选项:

A.

11.10%

B.

7.00%

C.

9.05%

解释:

Correct Answer: C

The forward rate at which an investor would be indifferent to purchasing the Treasury zero-coupon note today or two years from today, or the breakeven rate, is equal to the three-year rate, two years forward = f(2,3) = 9.05%, where r(1)= 3%, r(2)=4%, r(3)=5%, r(4)=6%, r(5)=7%.

用year345的forward rate算f2,3就行了是吗?都不用看这个7%

1 个答案

吴昊_品职助教 · 2024年04月18日

嗨,从没放弃的小努力你好:


现在表格中的forward rate均是一年期的远期利率(Current spot rates and extrapolated one year forward rates are provided in Exhibit 1.),5.01%代表的是到第二年末结束的远期利率,即f(1,1)。7.03%代表的是到第三年末结束的远期利率,即f(2,1)。以此类推。

现在要算f(2,3),只能用S(2)和S(5)反推。

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