NO.PZ2019103001000058
问题如下:
Based on Exhibit 3, the implied Australian dollar (A$) 1-year rate, 1-year forward is closest to:
选项:
A. 0.15%
B. 1.95%
C. 2.10%
解释:
B is correct.
The implied forward rate can be calculated using the yield to maturity (YTM) of the 2-year Ride-the-Yield Curve and 1-year Buy-and-Hold portfolios.
F1,1 = [(1.018)^2/1.0165] – 1 = 1.95%
老师您好,这道题coupon rate 是1.4,最后还有loss,为什么YTM是1.65呢,虽然和这道题没有直接关系,但还是有些疑惑