No.PZ2020021204000038 (问答题)来源: 原版书
The Eurodollar futures price for a contract that matures in three years is 95.75. The standard deviation of the change in the short rate in one year is 0.8%. the continuously compounded threeyear zero rate is 4.12%, what is the continuously compounded 3.25-year rate?
解析
(0.04255X0.25+0.0412X3)/3.25 = 0.0413 or 4.13%
这个futures price是不是要先调整凸度？但是发现调整的结果和我的不大一样？
我的算法：
forward rate = (1-0.9575) - 0.5 × 0.008^2 ×3×(3+0.25) = 0.042188
r 3.25 = (3 × 0.0412 + 0.042188 × 0.25) / 3.25 = 4.128%
