Hugogooo · 2020年07月11日
问题如下：
The one-year spot rate r(1) = 5% and the forward price for a one-year zero-coupon bond beginning in one year is 0.9346. The spot price of a two-year zero-coupon bond is closest to:
选项：
A. 0.87.
B. 0.89.
C. 0.93.
解释：
B is correct.
We can convert spot rates to spot prices and use the forward pricing model, so have P(1)=
The forward pricing model is P(T*+T)=P(T*)F(T*,T),
so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901
请问可以用（1+s2）²＝（1+s1）（1+f 1.1）么？NO.PZ2016022702000009 问题如下 The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。 老师，您好！题目所说“the forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346”，我理解这个远期合约的价格是远期的流入现金流在第二年年末经过f1,1 和 r1两次折现后得到的0.9346，即0.9346 = (1/r1)*(1/f1,1)，是这样吗？
NO.PZ2016022702000009 问题如下 The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。 如题，可否用这个公式写一下计算过程，谢谢！
NO.PZ2016022702000009 问题如下 The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。 先用1/0.9346计算出f(1.1)=6%，然后再一并折现成价格计算
NO.PZ2016022702000009问题如下The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。 请问期利率转化成即期价格的原理是什么？假设面值=1，求t=0时刻price，是这么理解吗？
NO.PZ2016022702000009 P2=P1*远期汇率 为什么直接把0.9346带进去 P1=1/R1这个可以理解但是这个远期汇率没有懂为什么直接带入已知条件的P的价格
