Grace Zhu · 2020年07月13日
问题如下：
All rates are annual rates stated for a periodicity of one (effective annual rates).
The 3-year implied spot rate is closest to:
选项：
A.1.18%.
B.1.94%.
C.2.28%.
解释：
B is correct.
The 3 year implied spot rate is closest to 1.94%. It is calculated as the geometric average of the one-year forward rates:
(1.0080 × 1.0112 × 1.0394) = (1 + z3)3
1.05945 =(1+Z3)3
[1.05945]1/3= [(1+Z3)3] 1/3
1.01944 = 1 + z3
1.01944-1 = z3
0.01944 = z3, z3 = 1.944% or approximately 1.94%
老师，不太理解这个题？然后，用计算器怎么按呢？
NO.PZ2016031001000088问题如下 All rates are annurates statefor a periocity of one (effective annurates). The 3-yeimpliespot rate is closest to: A.1.18%.B.1.94%.C.2.28%. B is correct.The 3 yeimpliespot rate is closest to 1.94%. It is calculatethe geometric average of the one-yeforwarrates:(1.0080 × 1.0112 × 1.0394) = (1 + z3)31.05945 =(1+Z3)3[1.05945]1/3= [(1+Z3)3] 1/31.01944 = 1 + z31.01944-1 = z30.01944 = z3, z3 = 1.944% or approximately 1.94%考点spot rate forwarrate解析(1+S3 )3 =[1+f(0y1y)]×[1+f(1y1y)]×[1+f(2y1y)]，把表格内的数据代入公式的右边，就可以反求出S3 =1.94%，故B正确。 请问这个开三次方用BA2️⃣ 计算器怎么按？列了式子不会计算
NO.PZ2016031001000088 问题如下 All rates are annurates statefor a periocity of one (effective annurates). The 3-yeimpliespot rate is closest to: A.1.18%. B.1.94%. C.2.28%. B is correct.The 3 yeimpliespot rate is closest to 1.94%. It is calculatethe geometric average of the one-yeforwarrates:(1.0080 × 1.0112 × 1.0394) = (1 + z3)31.05945 =(1+Z3)3[1.05945]1/3= [(1+Z3)3] 1/31.01944 = 1 + z31.01944-1 = z30.01944 = z3, z3 = 1.944% or approximately 1.94%考点spot rate forwarrate解析(1+S3 )3 =[1+f(0y1y)]×[1+f(1y1y)]×[1+f(2y1y)]，把表格内的数据代入公式的右边，就可以反求出S3 =1.94%，故B正确。 老师，这道题，很多时候是错在这个英文理解上The 3-yeimpliespot rate，是代表什么，是哪个三年期。这个英文表述能否规范介绍下。有的同学会觉得，为啥不是1年往后的算三年，而是0年开始算三年
NO.PZ2016031001000088 问题如下 All rates are annurates statefor a periocity of one (effective annurates). The 3-yeimpliespot rate is closest to: A.1.18%. B.1.94%. C.2.28%. B is correct.The 3 yeimpliespot rate is closest to 1.94%. It is calculatethe geometric average of the one-yeforwarrates:(1.0080 × 1.0112 × 1.0394) = (1 + z3)31.05945 =(1+Z3)3[1.05945]1/3= [(1+Z3)3] 1/31.01944 = 1 + z31.01944-1 = z30.01944 = z3, z3 = 1.944% or approximately 1.94%考点spot rate forwarrate解析(1+S3 )3 =[1+f(0y1y)]×[1+f(1y1y)]×[1+f(2y1y)]，把表格内的数据代入公式的右边，就可以反求出S3 =1.94%，故B正确。 为什么不是从1y1y开始，到3y1y? 0y1y 不是0时刻的利率吗
NO.PZ2016031001000088 All rates are annurates statefor a periocity of one (effective annurates). The 3-yeimpliespot rate is closest to: A 1.18%. B 1.94%. C 2.28%.
NO.PZ2016031001000088 不太明白为什么spot等于前面三个forwarrate乘在一起
