请问

问题如下：

Spot curve shows: r(1) = 3.5%, r(2) = 4.5%, and r(3) = 5.6%. According to the spot rates, the forward rate for a one-year loan beginning in one year will be:

选项：

A.

less than the forward rate for a one-year loan beginning in two-years.

B.

greater than the forward rate for a two-year loan beginning in one-year.

C.

greater than the forward rate for a one-year loan beginning in two-years.

解释：

A is correct.

考点：通过Spot rate计算Forward rate

解析：

通过Spot rate计算Forward rate的公式，从第1年末开始的一年期Forward rate为：

${(1+S_2)}^2=(1+S_1){(1+f(1,1))}^1$;代入数据，可得f(1,1)为: 5.51%;

对于A选项f(2,1)为：

${(1+S_3)}^3={(1+S_2)}^2{(1+f(2,1))}^1$；代入数据，可得f(2,1)为: 7.84%

因此A选项正确；C选项错误；

对于B选项f(1,2)为：

$f(1,2)^2\times(1+3.5\%)=(1+5.6\%)^3$

可算的f(1,2)=6.7%，因此B选项错误。