colin809 · 2020年10月27日

问一道题：NO.PZ201701230200000103 第3小题 [ CFA II ]

1. CFA II
2. Fixed Income

* 问题详情，请 查看题干

问题如下：

3. Based on Exhibit 1, the forward rate of a one-year loan beginning in three years is closest to:

选项：

A.

4.17%

B.

4.5%

C.

5.51%

解释：

C is correct.

A one-year loan beginning in three years, or f(3,1), is calculated as follows:

[1+r(3+1)]⁽³⁺¹⁾= [1+r(3)]³[1+f(3,1)]¹

[1.040]⁴=[1.035]³[1+f(3,1)]¹

f(3,1)=(1.04)⁴/(1.035)³-1=5.514%

可以用（1+S4）^4=（1+S1）(1+S2)(1+S3)(1+f)来求不？总觉得是不是对这个概念理解没有透彻……