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shelly0205 · 2020年10月05日

问一道题:NO.PZ2018120301000051

问题如下:

Wang is a fixed-income analyst in a wealth management firm. He expects the yield curve will remain stable over the next 12 months. Suppose the investment horizon is 1-year and there are two strategies at the moment. The first one is to apply buy and hold strategy using the government bonds and the second is to buy a 2-year government bond and invest for 1-year. The relevant information is shown below:

According to the information above, what is the implied forward rate F(1,1)?

选项:

A.

3.36%

B.

3.84%

C.

3.11%

解释:

B is correct

考点:使用Riding the yield curve策略时收益率曲线的理解

解析:当前状态下,1年期债券的YTM是2.88%,2年期债券的YTM是3.36%,则F(1,1)等于:

(1+2.88%)[1+F(1,1)]=(1+3.36%)^2

F(1,1)=3.84%

不好意思想请问一下为什么不可以用coupon rate来算呢

1 个答案

WallE_品职答疑助手 · 2020年10月05日

同学您好,

远期利率是由spot rate推出来的哈,和coupon rate无关。