问题如下图：
选项：
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解释：
是因为题目中说了is nearly risk free，所以才不用考虑swap spread的对么？
NO.PZ2018123101000025 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to: A.0.9662 B.0.9694 C.0.9780 B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)=0.97800.9481=0.9694 这个题swsprea没有用的吗？
NO.PZ2018123101000025 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to: A.0.9662 B.0.9694 C.0.9780 B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)=0.97800.9481=0.9694 老师，在这个题型里，就不需要考虑2那个时间点上的现金流了对吗，都用1/（1+X%）来计算当年的forwarprice吗？
NO.PZ2018123101000025问题如下Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to:A.0.9662B.0.9694C.0.9780B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)=0.97800.9481=0.9694the forwarpriof a one-yegovernment bonto issuein one ye是指F（1，1)没说the beginning 和多少years
NO.PZ2018123101000025问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to:A.0.9662B.0.9694C.0.9780B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)=0.97800.9481=0.9694这个知识点哪里讲到的？我没印象了
NO.PZ2018123101000025 0.9694 0.9780 B is correct. 考点考察Forwarprice概念 解析由公式可求 P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T) P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11 P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21 F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)=0.97800.9481=0.9694 这道题如果我算出了forwarrate，求价格时为什么不是1/（1+f）后再除以（1+2.25%）来把价格折到零时刻呢？
