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除了樱花 · 2022年04月09日

没看懂

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000017

问题如下：

The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5%, what are the (semi-annually compounded) forward rates for a six-month periods beginning in six, 12, and 18 months?

选项：

解释：

The forward rates are

2 X ( 1.02752 /1.025-1) = 0.060012

2 X ( 1.033 /1.02752- 1) = 0.070037

2 X ( 1.03254 /1.033 - 1)= 0.080073

If all rates were continuously compounded, the forward rates would be 6%, 7%, and 8%. Because we are dealing with a semi-annually compounded rate, they are slightly different: 6.0012%, 7 .0037%, and 8.0073%.

没看懂这道题能不能具体讲一讲

还有这道题是离散利率吗，求forward的公式是什么

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已采纳答案

DD仔_品职助教 · 2022年04月09日

嗨，从没放弃的小努力你好：


具体请看以下图片

这道题唯一需要注意的是，半年付息一次，是离散利率，但是利率都是年化的，所以需要调整，具体计算请看下图

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

除了樱花 · 2022年04月10日

woc讲的真好，牛啊，明白了

DD仔_品职助教 · 2022年04月10日

嗨，从没放弃的小努力你好：


同学加油喔！！~

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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