NO.PZ2018123101000018
问题如下：
Jane is a bond trader for an investment bank. Exhibit 1 presents the current par and spot rates.
Note: Par and spot rates are based on annual-coupon sovereign bonds.
Based on Exhibit 1, the five-year spot rate is closest to:
选项：
A.
4.40%
B.
4.45%
C.
4.50%
解释：
B is correct.
考点：The Swap Rate Curve和Spot rate的关系
解析：
已知1-year, 2-year, 3-year, 4-year的Spot rate，也知道5-year的Swap rate，根据由Swap rate求Spot rate的方法，有公式：
1=0.0437/(1.025)+0.0437/(1.03)^2+0.0437/(1.035)^3+0.0437/(1.04)^4+1.0437/(1+S5)^5
S5=4.45%
题目解答为什么强调是swap rate与spot rate的关系，难道不是par rate与spot rate的关系做boot strapping吗？
