问一道题：NO.PZ2016022702000002

问题如下：

Consider spot rates for three zero-coupon bonds: r(1) = 3%. r(2) = 4%. and r(3) = 5%. Which statement is correct? The forward rate for a one-year loan beginning in one year will be:

选项：

less than the forward rate for a one-year loan beginning in two-years.

greater than the forward rate for a two-year loan beginning in one-year.

greater than the forward rate for a one-year loan beginning in two-years.

解释：

A is correct

The forward rate for a one-year loan beginning in one-year f(1,1) is

$1.04^2/1.03-1=5\%$

The rate for a one-year loan beginning in two-year f(2,1) is $1.05^3/1.04^2-1=7\%$ . This confirms that an upward sloping yield curve is consistent with an upward sloping forward curve.

算f(2,1),我的列式是1.03*1.04*f(2.1)=1.05三次方，对吗？

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1 个答案

吴昊_品职助教 · 2020年02月06日

嗨，努力学习的PZer你好：

你的列式有误。如果要算f(2,1)，可以有两种列式：

一. (1+S2)^2×[1+f(2,1)]=(1+S3)^3

二. (1+S1)×[1+f(1,1)]×[1+f(2,1)]=(1+S3)^3

以上两种均可，代入数字即可。

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