问一道题：NO.PZ2018123101000045

问题如下：

Exhibit 1 shows the current government spot rates for Country C.

Please use Exhibit 1 to calculate the forward rate for a two-year Country C loan beginning in three years.

选项：

9.07%.

9.58%

9.97%.

解释：

A is correct.

考点：根据Spot rate计算Forward rate。

解析：题干需要求的是f(3,2)，因此需要用到的Spot rate为5-year spot rate和3-year spot rate，根据公式有：

${(1+S_5)}^5={(1+S_3)}^3\times{(1+f(3,2))}^2$

代入数据可以求得f(3,2)