问一道题：NO.PZ2016022702000001

问题如下：

Which forward rate cannot be computed from the one-, two-, three-, and four-year spot rates? The rate for a:

选项：

one-year loan beginning in two years.

two-year loan beginning in two years.

three-year loan beginning in two years.

解释：

C is correct.

There is no spot rate information to provide rates for a loan that terminates in five years. That is f(2,3) is calculated as follows:

$f(2,3)=\sqrt[3]{\frac{\lbrack{1+r(5)}\rbrack}{{\lbrack{1+r(2)}\rbrack}^2}^5}-1$

The equation above indicates that in order to calculate the rate for a three-year loan beginning at the end of two years you need the five year spot rate r(5) and the two-year spot rate r(2). However r(5) is not provided.

第五年的spot rate是可以通过s1，s2，s3，s4算出来的吧，如果这样，那c选项是不是应该也可以算出来呢？

添加评论

1 个答案

吴昊_品职助教 · 2020年02月09日

嗨，努力学习的PZer你好：

第五年的spot rate无法从S1，S2，S3，S4中算得。即期利率和远期利率之间可以相互推导，即期利率之间无法彼此推导。

-------------------------------
加油吧，让我们一起遇见更好的自己！

添加评论

1
回答
0
关注
342
浏览

我要回答关注问题

相关问题

NO.PZ2016022702000001 问题如下 Whiforwarrate cannot computefrom the one-, two-, three-, anfour-yespot rates? The rate for A.one-yelobeginning in two years. B.two-yelobeginning in two years. C.three-yelobeginning in two years. C is correct.There is no spot rate information to provi rates for a lothterminates in five years. This f(2,3) is calculatefollows:f(2,3)=[1+r(5)][1+r(2)]253−1f(2,3)=\sqrt[3]{\frac{\lbrack{1+r(5)}\rbrack}{{\lbrack{1+r(2)}\rbrack}^2}^5}-1f(2,3)=3[1+r(2)]2[1+r(5)]5−1The equation above incates thin orr to calculate the rate for a three-yelobeginning the enof two years you neethe five yespot rate r(5) anthe two-yespot rate r(2). However r(5) is not provi考点Forwarrate与Spot rate由f(2,3)的公式可知，如果要计算f(2,3)，我们需要知道五年期的即期利率r(5)以及两年期的即期利率r(2)。然而题目中没有给出五年期的即期利率r(5)，所以f(2,3)无法得到。这里“ 3 yelobeginning in 2 years\" 指的是f(2,3), 意思是第2年末开始未来3年的rate，对吗？我另一个问题是前面有一道题也是和上面同样的表达 “ 4 yelobegining in 1year\" 是f(1，4），那道题里的解答说的是这是“第4年末开始未来1年的rate” 。我现在迷糊了，到底哪种说法是对的？

2022-05-11 20:53 2 · 回答

C确实算不出，但是B连几年后开始都没明确，不是也没法算吗？

2018-06-03 22:14 1 · 回答

问一道题：NO.PZ2016022702000001

1 个答案

1

0

342

相关问题