NO.PZ2016022702000004
问题如下:
A one-year zero-coupon bond yields 4.0%. The two- and three-year zero-coupon bonds yield 5.0% and 6.0% respectively.
The rate for a one-year loan beginning in one year is closest to:
选项:
A.4.5%
B.5.0%.
C.6.0%.
解释:
C is correct.
From the forward rate model. we have
Using the one- and two-year spot rates. we have
so
考点:通过spot rate计算forward rate
通过forward rate model,将一年期和两年期的spot rate代入上式,可以得到f(1,1)=6.010%
老师问下spot rate和forward rate哪个可以近似理解为边际利率哪个是平均利率