0.9346是F的价格吧

问题如下：

Below shows the yields of zero-coupon bond

The forward rate for a two-year loan beginning in one year is closest to:

选项：

9.06%

6.06%

7.06%

解释：

A is correct.

考点：利用Spot rate求Forward rate

解析：

题干让求的是f(1,2)，因此需要的Spot rate为3-year spot rate和1-year spot rate；根据公式有：

${(1+S_3)}^3={(1+S_1)}^1{(1+f(1,2))}^2$， 代入公式可得：f(1,2)=9.06%