问题如下：
Wang is a fixed-income analyst in a wealth management firm. He expects the yield curve will remain stable over the next 12 months. Suppose the investment horizon is 1-year and there are two strategies at the moment. The first one is to apply buy and hold strategy using the government bonds and the second is to buy a 2-year government bond and invest for 1-year. The relevant information is shown below:
According to the information above, what is the implied forward rate F(1,1)?
选项：
A.3.36%
B.3.84%
C.3.11%
解释：
B is correct
考点：使用Riding the yield curve策略时收益率曲线的理解
解析：当前状态下，1年期债券的YTM是2.88%，2年期债券的YTM是3.36%，则F(1,1)等于：
(1+2.88%)[1+F(1,1)]=(1+3.36%)^2
F(1,1)=3.84%
老师您好。
我是这么求的：设s1为0时刻1年期spot rate，s2为0时刻2年期spot rate，y为implied rate。
那是不是应该先求s1和s2，再求y。
2.4/（1+s1）+102.4/（1+s2）^2=98.17
102.4/(1+s1)=99.44 ——因为yield curve stable，所以一年后的s1不变。
联立以上两个方程，得出s1=0.02977，s2=0.03366
再求y：
（1+s1）(1+y)=(1+s2)^2
得到y=0.03757
以上哪里错了啊？
