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pengyaning · 2023年10月21日

远期利率

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000084

问题如下：

Given the following bonds and forward rates:

1-year forward rate one year from today = 9.56%

1-year forward rate two years from today = 10.77%

2-year forward rate one year from today = 11.32%

Which of the following statements about the forward rates, based on the bond prices, is true?

选项：

A.

The 1-year forward rate one year from today is too low.

B.

The 2-year forward rate one year from today is too high.

C.

The 1-year forward rate two years from today is too low.

D.

The forward rates and bond prices provide no opportunities for arbitrage.

解释：

1-year forward rate one year from today = 1.072/1.045 – 1 = 9.56%

1-year forward rate two years from today = 1.093/1.072 – 1 = 13.11%

2-year forward rate one year from today = (1.093/1.045)0.5 – 1 = 11.32%

题目没给，怎么区分单利还是复利？

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1 个答案

品职答疑小助手雍 · 2023年10月22日

同学你好，forward这种问题一般都用复利或者连续复利，不会用单利的。

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