问题如下:
The current annual spot rates are showed below: 1 year = 2%, 2 years = 2.5%, 3 years = 3.5%, 4 years = 5.5%. What's the two-year forward rate two years into the future?
选项:
A.6.6%.
B.8.6%.
C.10.6%.
解释:
B is correct.
The forward rate is [ 1.0554 / 1.0252]1/2−1=8.6%.
为何不可以用这个公式:括号外的数字4和2是次方。(1+S4)4=(1+S1)(1+S2)(1+2Y2Y)2