NO.PZ201701230200000203
问题如下：
3. In presenting Investment 2, Smith should show an annual return closest to:
选项：
A.4.31%.
B.5.42%.
C.6.53%.
解释：
C is correct.
The swap spread is a common way to indicate credit spreads in a market. The four-year swap rate (fixed leg of an interest rate swap) can be used as an indication of the four-year corporate yield. Riding the yield curve by purchasing a four-year zero-coupon bond with a yield of 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} and then selling it when it becomes a two-year zero-coupon bond with a yield of 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} produces an annual return of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.
(94.260/83.058)0.5 - 1.0 = 0.0653
不明白使用什么复利公式计算的，麻烦老师解释一下。
