问题如下:
The Eurodollar futures price for a contract that matures in three years is 95.75. The standard deviation of the change in the short rate in one year is 0.8%. the continuously compounded threeyear zero rate is 4.12%, what is the continuously compounded 3.25-year rate?
选项:
解释:
(0.04255X0.25+0.0412X3)/3.25 = 0.0413 or 4.13%
老师能结合上一道题详细讲解一下这道题么?自己没有看明白这道题和答案。