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中二 · 2020年02月14日

问一道题:NO.PZ2016070201000061 [ FRM II ]

问题如下:

An. investor expects the current 1-year rate for a zero-coupon bond to remain at 6%, the 1-year rate next year to be 8%, and the 1-year rate in two years to be l0%. What is the 3-year spot rate for a zero-coupon bond with a face value of $1, assuming all investors have the same expectations of future 1-year rates for zero-coupon bonds?

选项:

A.

7.888%.

B.

7.988%.

C.

8.000%.

D.

8.088%.

解释:

The 3-year spot rate can be solved for using the following equation:

$1(1.06)(1.08)(1.1)=$1(1+r(3))3\frac{\$1}{{(1.06)}{(1.08)}{(1.1)}}=\frac{\$1}{{(1+{\displaystyle\overset\wedge r}(3))}^3}

Solving for r^(3)=(1.06)(1.08)(1.1)31=7.988%\widehat r(3)=\sqrt[3]{(1.06)(1.08)(1.1)}-1=7.988\%

请问用这种方法 做对吗?

1 个答案

品职答疑小助手雍 · 2020年02月14日

同学你好,如果你下面那一行是(1+s3)的三次方(写成2次方应该是笔误了)的话,是没错~

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