问题如下:
3. Which of the following statements about the missing data in Exhibit 3 is correct?
选项:
A.Node 3–2 can be derived from Node 2–2.
B.Node 4–1 should be equal to Node 4–5 multiplied by e0.4.
C.Node 2–2 approximates the implied one-year forward rate two year from now.
解释:
C is correct.
Because Node 2–2 is the middle node rate in Year 2, it will be close to the implied one-year forward rate two year from now (as derived from the spot curve). Node 4–1 should be equal to the product of Node 4–5 and . Lastly, Node 3–2 cannot be derived from Node 2–2; it can be derived from any other Year 3 node; for example, Node 3–2 can be derived from Node 3–4 (equal to the product of Node 3–4 and ).
请问为什么Node 3–2 cannot be derived from Node 2–2?