NO.PZ201701230200000201
问题如下：
1. In his presentation of Investment 1, Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:
选项：
A. 0.9662.
B. 0.9694.
C. 0.9780.
解释：
B is correct.
The forward pricing model is based on the no-arbitrage principle and is used to calculate a bond’s forward price based on the spot yield curve. The spot curve is constructed by using annualized rates from option-free and default risk-free zero-coupon bonds.
Equation 2: p(T*+T)=P(T*)F(T*,T); we need to solve for F(1,1).
P(1)=1/(1+0.0225) and p(2)=1/(1+0.0270)2,
F(1,1)=P(2)/P(1)=0.9481/0.9780=0.9694.
请问这里不考虑swap spread吗？