这类题

NO.PZ2023040401000106

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 would expect on 1m1m forward rate agreement?

选项：

1.80%

1.35%

3.55%

解释：

A is correct. The APR of the monthly compounded two-monthrate 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 approximateforward rate is 1.80%.

B is incorrect because this is a simple average of thetwo spot rates.

C is incorrect because this result is derived from simplydividing (1.01499/12) by (1.012/12), then subtracting 1, and then multiplyingby 12.

这类题感觉经常容易错，2个月的MRR不用转换成一个月等价的MRR么？还有就是什么情况下才要转换？

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李坏_品职助教 · 2025年02月04日

嗨，从没放弃的小努力你好：

遇到这种类似的求远期利率的题目，可以先把MRR都除以12，换算成1个月的利率再进行复利运算。

假设1个月-2个月这段时间的远期利率是x, 那么：

（1+2个月的MRR / 12）^2 = (1+1个月的MRR / 12) × (1+x / 12)

（1+1.5% / 12)^2 = (1+1.2% / 12) × (1+x / 12)，可以求出x = 1.8%.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2023040401000106问题如下 Baywhite observes thone-month MRR is 1.2% antwo-month MRR is 1.5%. Whiof the following rates is closest to the forwarrate thBaywhite woulexpeon 1m1m forwarrate agreement? A.1.80%B.1.35%C.3.55% A is correct. The APR of the monthly compountwo-monthrate is 1.499%. ving (1.01499/12)2 (1.012/12) equals 1.001499.Subtracting 1 anthen multiplying 12 gives 1.7982%. Thus, the approximateforwarrate is 1.80%. B is incorrebecause this is a simple average of thetwo spot rates. C is incorrebecause this result is rivefrom simplyving (1.01499/12) (1.012/12), then subtracting 1, anthen multiplying12. 为什么我按老师讲解算出来的不是1.8%？

2024-04-16 22:11 1 · 回答