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Shuangshuang · 2021年03月30日

只要是pv是100左右的strips就是fv等于100么

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2019070101000036

问题如下：

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

选项：

A.

1.65%.

B.

5.06%.

C.

2.53%.

D.

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+ 0.0262 2 ) 4 = (1+ 0.0265 2 ) 3 × (1+ f(2.0) 2 ) 1 , f(2.0)=2.53%

如题只要是pv是100左右的strips就是fv等于100么
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袁园_品职助教 · 2021年03月31日

同学你好！

是的，这里基本可以当做一个默认条件来看

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