问一道题：NO.PZ2016022702000006

问题如下：

A one-year zero-coupon bond yields 4.0%. The two- and three-year zero-coupon bonds yield 5.0% and 6.0% respectively.

The forward rate for a one-year loan beginning in two years is closest to:

选项：

6.0%

7.0%

8.0%

解释：

C is correct.

From the forward rate model.

${\lbrack{1+r(3)}\rbrack}^3={\lbrack{1+r(2)}\rbrack}^2{\lbrack{1+f(2,1)}\rbrack}^1$

Using the two and three-year spot rates,we find

${(1+0.06)}^3={(1+0.05)}^2{\lbrack{1+f(2,1)}\rbrack}^1$ so $\frac{{(1+0.06)}^3}{{(1+0.05)}^2}-1=f(2,1)=8.029\%$