开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

miao999 · 2022年02月09日

为什么连题干中给的zero rates也要变成半年复利一次啊，题干不是只要求forward rate是半年复利一次吗

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000017

问题如下：

The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5%, what are the (semi-annually compounded) forward rates for a six-month periods beginning in six, 12, and 18 months?

选项：

解释：

The forward rates are

2 X ( 1.02752 /1.025-1) = 0.060012

2 X ( 1.033 /1.02752- 1) = 0.070037

2 X ( 1.03254 /1.033 - 1)= 0.080073

If all rates were continuously compounded, the forward rates would be 6%, 7%, and 8%. Because we are dealing with a semi-annually compounded rate, they are slightly different: 6.0012%, 7 .0037%, and 8.0073%.

The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5%, what are the (semi-annually compounded) forward rates for a six-month periods beginning in six, 12, and 18 months?

添加评论
2 个答案

DD仔_品职助教 · 2023年03月20日

嗨，从没放弃的小努力你好：


答案是6.0012%，计算器要设置为6位小数

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

DD仔_品职助教 · 2022年02月09日

嗨，努力学习的PZer你好：


同学你好，

这里虽然没有说清楚zero rate也是半年付息一次，但是一般情况都是相互对应的，要求求的是半年付息一次的forward rate，那么对应的zero rate也是半年付息一次的。

我们以第一个forward rate为例(如下图)，虽然给出来的就是半年期的利率，但是这个利率是以年的形式表示的，所以要把时间进行调整，不然没有办法求远期利率。

反求f0.5-->1=0.060012


----------------------------------------------
努力的时光都是限量版，加油！

Dearkerry · 2023年03月20日

老师，按照您上面写的公式计算下来，应该是6%呀？

  • 2

    回答

  • 0

    关注

  • 384

    浏览
相关问题

NO.PZ2020021204000017 问题如下 The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5%, whare the (semi-annually compoun forwarrates for a six-month perio beginning in six, 12, an18 months? The forwarrates are2 X ( 1.02752 /1.025-1) = 0.0600122 X ( 1.033 /1.02752- 1) = 0.0700372 X ( 1.03254 /1.033 - 1)= 0.080073 If all rates were continuously compoun the forwarrates woul6%, 7%, an8%. Because we are aling with a semi-annually compounrate, they are slightly fferent: 6.0012%, 7 .0037%, an8.0073%. 另外，zero rate不是一般是期限为1年以内债券的到期收益率吗？

2024-03-15 23:16 1 · 回答

NO.PZ2020021204000017 问题如下 The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5%, whare the (semi-annually compoun forwarrates for a six-month perio beginning in six, 12, an18 months? The forwarrates are2 X ( 1.02752 /1.025-1) = 0.0600122 X ( 1.033 /1.02752- 1) = 0.0700372 X ( 1.03254 /1.033 - 1)= 0.080073 If all rates were continuously compoun the forwarrates woul6%, 7%, an8%. Because we are aling with a semi-annually compounrate, they are slightly fferent: 6.0012%, 7 .0037%, an8.0073%.

2024-02-28 20:29 1 · 回答

NO.PZ2020021204000017 问题如下 The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5%, whare the (semi-annually compoun forwarrates for a six-month perio beginning in six, 12, an18 months? The forwarrates are2 X ( 1.02752 /1.025-1) = 0.0600122 X ( 1.033 /1.02752- 1) = 0.0700372 X ( 1.03254 /1.033 - 1)= 0.080073 If all rates were continuously compoun the forwarrates woul6%, 7%, an8%. Because we are aling with a semi-annually compounrate, they are slightly fferent: 6.0012%, 7 .0037%, an8.0073%. 问题为什么可以判断题干给的条件，即The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5%, 这些 zero rates也是semi-annually compoun我看题目的意思并没有指出这些是semi-annually compoun只是说forwarrate是semi-annually compound

2023-12-13 17:57 1 · 回答

NO.PZ2020021204000017问题如下The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5%, whare the (semi-annually compoun forwarrates for a six-month perio beginning in six, 12, an18 months? The forwarrates are2 X ( 1.02752 /1.025-1) = 0.0600122 X ( 1.033 /1.02752- 1) = 0.0700372 X ( 1.03254 /1.033 - 1)= 0.080073 If all rates were continuously compoun the forwarrates woul6%, 7%, an8%. Because we are aling with a semi-annually compounrate, they are slightly fferent: 6.0012%, 7 .0037%, an8.0073%. 为什么时间不是0.5，1，1.5计算，而是123？

2023-02-24 23:20 1 · 回答

NO.PZ2020021204000017 问题如下 The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5%, whare the (semi-annually compoun forwarrates for a six-month perio beginning in six, 12, an18 months? The forwarrates are2 X ( 1.02752 /1.025-1) = 0.0600122 X ( 1.033 /1.02752- 1) = 0.0700372 X ( 1.03254 /1.033 - 1)= 0.080073 If all rates were continuously compoun the forwarrates woul6%, 7%, an8%. Because we are aling with a semi-annually compounrate, they are slightly fferent: 6.0012%, 7 .0037%, an8.0073%. 李老师讲的公式是R1*T1+Rfowar（T2-T1）=R2*T2，但答案是（1+R1）*T1*（1+Rforwar*（T2-T1）=（1+R2）^2*T2可以具体一下为什么吗 两个公式分别适用于什么情况

2023-02-12 18:46 2 · 回答