NO.PZ2020021204000050
问题如下：
Suppose that the six-month Libor rate is 5%, the forward Libor rate for the period between 0.5 and 1.0 year is 5.6% and the forward Libor rate for the period between 1.0 and 1.5 years is 6.0. The two-year Libor swap rate is 5.7%. All risk-free rates are 4.5%., what is the 1.5-year Libor zero rate expressed with semi-annual compounding?
选项：
解释：
Using six-month forwards, 100 would grow to:
100 X (1 + 0.05/2) X (1 + 0.056/2) X (1 + 0.06/2) = 108.5311
If R is the 1.5 year zero rate with semi-annual compounding:
100 X (1 + R/2)^3 = 108.5311
This can be solved to give R = 0.055329. The zero rate is
5.5329%.
在与本题相关联的上一题中，有一个老师给出的解答中，有提及到，本题的解题思路适用的情况是期间没有现金流产生，然后利息最后一次结清。但是对于swap来讲，期间是有现金流产生的，需要适用FRA的思路。
这个说法不是与本题的思路矛盾么？
我的理解有问题吗？请老师解答下疑惑。感谢。
