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NO.PZ202208260100000406

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.

1.8是怎么算出来的？有具体公式吗

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1 个答案

李坏_品职助教 · 2025年01月14日

嗨，努力学习的PZer你好：

现在已知0-1时刻的即期利率是1.2%，0-2的即期利率是1.5%. 题目问你从1-2这段时间的远期利率是多少？

简单做法如下：

(1+1.2% / 12) * (1+远期利率/12)= (1+1.5% / 12)^2 ，

可以求出远期利率 = 1.8%.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ202208260100000406问题如下 Baywhite observes thatone-month MRR is 1.2% antwo-month MRR is 1.5%.Whiof thefollowing rates is closest to the forwarrate thBaywhite woulxpecton 1m1m forwarrate agreement? A.1.80%B.1.35%C.3.55% A is correct. The APR of the monthlycompountwo-month rate is 1.499%. ving (1.01499/12)2 by(1.012/12) equals 1.001499. Subtracting 1 anthen multiplying 12 gives1.7982%. Thus, the approximate forwarrate is 1.80%. B is incorrebecausethis is a simple average of the two spot rates. C is incorrebecause thisresult is rivefrom simply ving (1.01499/12) (1.012/12), thensubtracting 1, anthen multiplying 12. 请问，解析中的APR（1.499%)是怎样求得的？

2024-09-28 09:39 1 · 回答