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Shine尚尚 · 2021年06月24日

答案中解析本体是用swap rate求spot rate。想问下和swap rate有什么关系？

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000018

问题如下：

Jane is a bond trader for an investment bank. Exhibit 1 presents the current par and spot rates.

Note: Par and spot rates are based on annual-coupon sovereign bonds.

Based on Exhibit 1, the five-year spot rate is closest to:

选项：

A.

4.40%

B.

4.45%

C.

4.50%

解释：

B is correct.

考点：The Swap Rate Curve和Spot rate的关系

解析：

已知1-year, 2-year, 3-year, 4-year的Spot rate，也知道5-year的Swap rate，根据由Swap rate求Spot rate的方法，有公式：

1=0.0437/(1.025)+0.0437/(1.03)^2+0.0437/(1.035)^3+0.0437/(1.04)^4+1.0437/(1+S5)^5

S5=4.45%

答案中解析本体是用swap rate求spot rate。想问下和swap rate有什么关系？

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1 个答案

WallE_品职答疑助手 · 2021年06月24日

嗨，努力学习的PZer你好：


swap rate就是spot rate, 您看答案也可以知道，浮动利率折现为1= 第N年的现金流/ S(n)^n，前面4年都知道，然你求第五年的折现率

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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