问一道题：NO.PZ2019070101000036

问题如下：

Based on the table, the 6-month forward rate in 1.5 years is closest to:

选项：

1.65%.

5.06%.

2.53%.

6.87%.

解释：

C is correct.

考点：Forward rate.

解析：

首先计算2-year spot rate：N=4;PV=-94.9323; PMT=0; FV=100; CPT I/Y=1.3086%. 2-year spot rate=2.6172%；

计算forward rate：

${(1+ \frac{0.0262}{2})}^{4} = {(1 + \frac{0.0265}{2})}^{3} \times {(1 + \frac{f (2.0)}{2})}^{1}$ , f(2.0)=2.53%

请问1.3086%是怎么来的呀

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已采纳答案

袁园_品职助教 · 2020年10月04日

同学你好！

计算器输入：N=4;PV=-94.9323; PMT=0; FV=100;

CPT I/Y=1.3086%.

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问一道题：NO.PZ2019070101000036

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