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XP · 2020年05月28日

问一道题：NO.PZ2020021204000017

  1. FRM I
  2. Financial Markets And Products

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？

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1 个答案

袁园_品职助教 · 2020年05月29日

同学你好！

你可以去听一下“Forward Rate” 这一节的讲解视频，如果听完还是有疑惑可以继续提问

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