APR

问题如下：

Baywhite observes that one-month MRR is 1.2% and two-month MRR is 1.5%.Which of the following rates is closest to the forward rate that Baywhite wouldexpect on 1m1m forward rate agreement?

选项：

A.1.80%

B.1.35%

C.

3.55%

解释：

A is correct. The APR of the monthly compounded two-month rate is 1.499%. Dividing (1.01499/12)2 by (1.012/12) equals 1.001499. Subtracting 1 and then multiplying by 12 gives 1.7982%. Thus, the approximate forward rate is 1.80%. B is incorrect because this is a simple average of the two spot rates. C is incorrect because this result is derived from simply dividing (1.01499/12) by (1.012/12), then subtracting 1, and then multiplying by 12.