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Cooljas · 2024年04月27日

这个forward 计算方法为啥和公示给的不一样啊？为啥还会有次方和减1啊？

  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%



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1 个答案

品职答疑小助手雍 · 2024年04月28日

同学你好，解析这个式子完全没有问题的啊。

拿你红框的这个位置来说，问的是1年以后1年期的forward rate，那就是拿2年的spot rate里面扣去第一年的spot rate

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NO.PZ2023091802000084 问题如下 Given the followingbon anforwarrates: 1-yeforwarrate one yefrom toy = 9.56% 1-yeforwarrate two years from toy =10.77% 2-yeforwarrate one yefrom toy =11.32% Whiof the following statements about theforwarrates, baseon the bonprices, is true? A.The 1-yeforwarrate one yefrom toy is too low. B.The 2-yeforwarrate one yefrom toy is too high. C.The 1-yeforwarrate two years from toy is too low. The forwarrates anbonprices provi no opportunities for arbitrage. 1-yeforwarrate one yefrom toy = 1.072/1.045 – 1 = 9.56% 1-yearforwarrate two years from toy = 1.093/1.072 – 1 = 13.11% 2-yearforwarrate one yefrom toy = (1.093/1.045)0.5– 1 = 11.32% 题目没给，怎么区分单利还是复利？

2023-10-21 14:15 1 · 回答