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傅佳丽Diana · 2020年02月07日

问一道题：NO.PZ2018123101000025

  1. CFA II
  2. Fixed Income

问题如下：

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.

If Smith buys a government security, he would have an annualized return that is nearly risk free. Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:

选项：

A.

0.9662

B.

0.9694

C.

0.9780

解释：

B is correct.

考点：考察Forward price概念

解析：由公式可求

P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)

P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}

P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}

F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694

有时候是求p来，有时候是直接（1+s）有什么区别，怎么区分用哪个公示

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1 个答案

吴昊_品职助教 · 2020年02月08日

嗨，爱思考的PZer你好：


如果题目中直接让我们求的是远期利率，也就是你上一题遇到的情况。那么就直接用(1+S1)[1+f(1,1)]=(1+S2)^2类似的公式就可以求得远期利率。

如果题目中让我们求得是forward price，也就是这一题的情况，就用这道题解释中的公式来计算。


-------------------------------
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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