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华赞 · 2024年10月19日

请问公式是什么

  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%

这是哪章的内容，麻烦解析，谢谢

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1 个答案

pzqa39 · 2024年10月20日

嗨，努力学习的PZer你好：


这个知识点在估值的科目里面

因为在协会的设置里，估值和金融市场有一定的交叉。为了让大家系统学习，所以品职的课程把和bond相关的在估值里，和衍生品相关的在金融市场里。


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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