问题如下:
The forward rate is shown below:
The forward rate for a one-year loan beginning in one year is 6%, and the forward rate for a one-year loan beginning in two years is 8%. Which of the following rates is closest to the three-year spot rate?
选项:
A.5.647%
B.6.0%
C.8.0%
解释:
A is correct.
考点:考察Forward rate和Spot rate之间的关系
解析:题干让求的是3-year spot rate,而已知三个1-year forward rate,利用Forward rate和Spot rate之间的关系,可以求得:
3-year spot rate为:5.647%
老师请问,我可以这样理解吗-
第N年Forward Rate指在第N年年初观察到的远期利率?那么第2年的forward rate是否等于f(1,1)?第3年的forward rate是否等于f(2,1)?