问题如下:
Spot curve shows: r(1) = 3.5%, r(2) = 4.5%, and r(3) = 5.6%. According to the spot rates, the forward rate for a one-year loan beginning in one year will be:
选项:
A.less than the forward rate for a one-year loan beginning in two-years.
B.greater than the forward rate for a two-year loan beginning in one-year.
C.greater than the forward rate for a one-year loan beginning in two-years.
解释:
A is correct.
考点:通过Spot rate计算Forward rate
解析:
通过Spot rate计算Forward rate的公式,从第1年末开始的一年期Forward rate为:
;代入数据,可得f(1,1)为: 5.51%;
对于A选项f(2,1)为:
;代入数据,可得f(2,1)为: 7.84%
因此A选项正确;C选项错误;
对于B选项f(1,2)为:
可算的f(1,2)=6.7%,因此B选项错误。
算f(1,1)时,能不能用 (1.045)^2 * (1+f(1,1)) = (1.056)^3 => f(1,1)=7.83%,为何这样算不行?