问一道题：NO.PZ2016022702000002

问题如下：

Consider spot rates for three zero-coupon bonds: r(1) = 3%. r(2) = 4%. and r(3) = 5%. Which statement is correct? The forward rate for a one-year loan beginning in one year will be:

选项：

less than the forward rate for a one-year loan beginning in two-years.

greater than the forward rate for a two-year loan beginning in one-year.

greater than the forward rate for a one-year loan beginning in two-years.

解释：

A is correct

The forward rate for a one-year loan beginning in one-year f(1,1) is

$1.04^2/1.03-1=5\%$

The rate for a one-year loan beginning in two-year f(2,1) is $1.05^3/1.04^2-1=7\%$ . This confirms that an upward sloping yield curve is consistent with an upward sloping forward curve.