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%
–0.001%
–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