问题如下:
The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5%, what are the (semi-annually compounded) forward rates for a six-month periods beginning in six, 12, and 18 months?
选项:
解释:
The forward rates are
2 X ( 1.02752 /1.025-1) = 0.060012
2 X ( 1.033 /1.02752- 1) = 0.070037
2 X ( 1.03254 /1.033 - 1)= 0.080073
If all rates were continuously compounded, the forward rates would be 6%, 7%, and 8%. Because we are dealing with a semi-annually compounded rate, they are slightly different: 6.0012%, 7 .0037%, and 8.0073%.
请问这是考的哪个知识点啊?在讲义的哪一页?