开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

skye · 2024年10月04日

如下

* 问题详情,请 查看题干

NO.PZ202305230100003804

问题如下:

Which of the following choices is the closest to the implied five-year forward rate in two years for Swiss government bonds?

选项:

A.

–0.191%

B.

–0.001%

C.

–0.317%

解释:

The correct answer is A. The implied five-year forward rate in two years is the 2y5y rate. To calculate, we use the seven-year Swiss government rate and the two-year Swiss government rate, as follows:

2y5y IFR = [(1 – 0.003402)^7/(1 – 0.007133)^2]^(1/5) – 1 = 0.191%.

Choice B represents the 5y2y implied forward rate, and Choice C represents the 2y3y implied forward rate.

请问为什么不能用第一年到第七年的spot rate来计算,而要用第七年spot rate呢

skye · 2024年10月06日

弄混了,我明白了

1 个答案

吴昊_品职助教 · 2024年10月06日

嗨,从没放弃的小努力你好:


好的。

----------------------------------------------
努力的时光都是限量版,加油!