TZXคิดถึง · 2020年02月22日
问题如下：
The 1-year spot rate is 1.02%, 2-year spot rate is 1.65% and 3-year spot rate is 2.15%. Calculate 1-year implied forward rate two years from now.
选项：
A.5.13%
B.3.16%
C.2.33%
解释：
B is correct.
f(2,1)=3.16%
公式可以不可以写成：
f(n,m)=[1+Sn]^n/[1+S(n+m)]^(n+m)
就是从第n年往后看m年的隐含远期等于n年的即期的n次方比上n+m年的即期的n+m次方
还是说有别的公式？我在讲义里没找到
NO.PZ2018062006000088 问题如下 The 1-yespot rate is 1.02%, 2-yespot rate is 1.65% an3-yespot rate is 2.15%. Calculate 1-yeimplieforwarrate two years from now. A.5.13% B.3.16% C.2.33% B is correct.考点spot rate forwarrate解析(1+S2)2 × [1+f(2,1)] = (1+S3)3 (1+1.65%)2 × (1+f2,1)=(1+2.15%)3(1+1.65\%)^2\;\times\;(1+f_{2,1})=(1+2.15\%)^3(1+1.65%)2×(1+f2,1)=(1+2.15%)3把数据代入公式，就可以反求出f(2,1)=3.16%，故B正确。 这道题不理解解题思路是什么第一年难道不是就是1.02吗？
NO.PZ2018062006000088 问题如下 The 1-yespot rate is 1.02%, 2-yespot rate is 1.65% an3-yespot rate is 2.15%. Calculate 1-yeimplieforwarrate two years from now. A.5.13% B.3.16% C.2.33% B is correct.考点spot rate forwarrate解析(1+S2)2 × [1+f(2,1)] = (1+S3)3 (1+1.65%)2 × (1+f2,1)=(1+2.15%)3(1+1.65\%)^2\;\times\;(1+f_{2,1})=(1+2.15\%)^3(1+1.65%)2×(1+f2,1)=(1+2.15%)3把数据代入公式，就可以反求出f(2,1)=3.16%，故B正确。 请问为什么不用（1+S1）*（1+S2）*（1+S3）=（1+S2）² *（1+2y1y）
NO.PZ2018062006000088 3.16% 2.33% B is correct. (1+1.65%)2 × (1+f2,1)=(1+2.15%)3(1+1.65\%)^2\;\times\;(1+f_{2,1})=(1+2.15\%)^3(1+1.65%)2×(1+f2,1)=(1+2.15%)3 f(2,1)=3.16%根据公式，1+1.65%不是不需要平方吗？
3.16% 2.33% B is correct. (1+1.65%)2 × (1+f2,1)=(1+2.15%)3(1+1.65\%)^2\;\times\;(1+f_{2,1})=(1+2.15\%)^3(1+1.65%)2×(1+f2,1)=(1+2.15%)3 f(2,1)=3.16%老师好，为什么不能用(1+s1)(1+s2)(1+s3)=(1+s1)(1+s2)2来计算？
