🍑🍑🍑🍑🍑🍑🍑 · 2019年10月30日
问题如下：
Suppose the continuously compounded 5-year spot rate is 10% and the 4-year spot rate is 8.8%. Calculate the 1-year forward rate four years from now：
选项：
A.11.7%
B.12.5%
C.14.8%
D.15.8%
解释：
C is correct.
考点：Bond Yield
解析：
RForward
=R2+(R2−R1)×[T1/(T2−T1)]
没动答案里这个公式是什么原理？
NO.PZ2019052801000032问题如下Suppose the continuously compoun5-yespot rate is 10% anthe 4-yespot rate is 8.8%. Calculate the 1-yeforwarrate four years from nowA.11.7%B.12.5%C.14.8%15.8% C is correct. 考点BonYiel析简单算法RForwarR2+(R2−R1)×[T1/(T2−T1)]R_{Forwar=R_2+{(R_2-R_1)}\times{\lbraT_1/{(T_2-T_1)}\rbrack}RForwar=R2+(R2−R1)×[T1/(T2−T1)]=0.1+(0.1−0.088)×[4/(5−4)]=14.8%=0.1+{(0.1-0.088)}\times{\lbrack4/{(5-4)}\rbrack}=14.8\%=0.1+(0.1−0.088)×[4/(5−4)]=14.8% 老师好，只要出现continuously 就用连续复利对吧？如果用离散的每年复利一次，是这样吗（1+5%）^5=（1+8.8%）^4*（1+forwarrate）^1=14.93%吗？老师，这个连乘的原理是啥来的？
NO.PZ2019052801000032 12.5% 14.8% 15.8% C is correct. 考点BonYiel解析 RForwarR2+(R2−R1)×[T1/(T2−T1)]R_{Forwar=R_2+{(R_2-R_1)}\times{\lbraT_1/{(T_2-T_1)}\rbrack}RForwar=R2+(R2−R1)×[T1/(T2−T1)] =0.1+(0.1−0.088)×[4/(5−4)]=14.8%=0.1+{(0.1-0.088)}\times{\lbrack4/{(5-4)}\rbrack}=14.8\%=0.1+(0.1−0.088)×[4/(5−4)]=14.8%如标题所述 谢谢谢谢谢
老师好，如果这题不是连续复利，是不是就应该按照红色字体部分来计算？
（一）1/e^S5*5 = 1/e^S4*4 + 1/e^F （二） e^S5*5 = e^S4*4 + e^F 想问下是从（一）可以直接推到（二）吗？ 我还以为（一）这一步要取ln来求，然后求了半天发现不太对。。。
