NO.PZ2023040401000058
问题如下：
QWR is a financial intermediary active in both futures and forward markets. At time t = 0, QWR observes the following zero rates over three periods:
选项：
A.Because the swap rate represents the fixed rate at which the present value of fixed and future cash flows equal one another, we can first use zero rates to solve for the implied forward rate per period, then discount each implied forward rate back to the present using zero rates, and solve for s3 to get 3.46%.
Because the swap rate represents the fixed rate at which the present value of fixed and future cash flows equal one another, we can use zero rates to discount each zero rate back to the present, and solve for s3 to get 3.02%.
Because the swap rate represents the fixed rate at which the present value of fixed and future cash flows equal one another, we can first use zero rates to solve for the implied forward rate per period, then discount each zero rate back to the present using implied forward rates, and solve for s3 to get 3.99%.
解释：
IFR0,1
= 2.52%, IFR1,1 = 3.56%, and IFR2,1 = 4.43%
RT
