问一道题：NO.PZ2016022702000009

问题如下：

The one-year spot rate r(1) = 5% and the forward price for a one-year zero-coupon bond beginning in one year is 0.9346. The spot price of a two-year zero-coupon bond is closest to:

选项：

0.87.

0.89.

0.93.

解释：

B is correct.

We can convert spot rates to spot prices and use the forward pricing model, so have P(1)= $\frac1{{(1.05)}^1}=0.9524$

The forward pricing model is P(T*+T)=P(T*)F(T*,T),

so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901

你好，我想问一下为什么 P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901这样计算以后，P（2）不需要计算平方根？

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WallE_品职答疑助手 · 2020年09月02日

同学您好，

如果用利率的话会是如下情况，

（1+s2）²＝（1+s1）（1+f 1.1）

那现在左右同时用1除, 就得到P(2)=P(1)F(1,1)，所以根本就不用算平方根，你得到的就是price.

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NO.PZ2016022702000009 问题如下 The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。老师，您好！题目所说“the forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346”，我理解这个远期合约的价格是远期的流入现金流在第二年年末经过f1,1 和 r1两次折现后得到的0.9346，即0.9346 = (1/r1)*(1/f1,1)，是这样吗？

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问一道题：NO.PZ2016022702000009

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