NO.PZ2018123101000045
问题如下:
Exhibit 1 shows the current government spot rates for Country C.
Please use Exhibit 1 to calculate the forward rate for a two-year Country C loan beginning in three years.
选项:
A.9.07%.
B.9.58%
C.9.97%.
解释:
A is correct.
考点:根据Spot rate计算Forward rate。
解析:题干需要求的是f(3,2),因此需要用到的Spot rate为5-year spot rate和3-year spot rate,根据公式有:
代入数据可以求得f(3,2)
用ride on the yield curve 的前提是收益率曲线要是upward sloping且收益率是stable 的,但是这个题的收益率曲线是逐年递减的,为什么可以用这个公式?