NO.PZ2016022702000009
问题如下:
The one-year spot rate r(1) = 5% and the forward price for a one-year zero-coupon bond beginning in one year is 0.9346. The spot price of a two-year zero-coupon bond is closest to:
选项:
A.0.87.
B.0.89.
C.0.93.
解释:
B is correct.
We can convert spot rates to spot prices and use the forward pricing model, so have P(1)=
The forward pricing model is P(T*+T)=P(T*)F(T*,T),
so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901
考点:forward pricing model
我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forward pricing model,P(T*+T)=P(T*)F(T*,T),得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。
请问期利率转化成即期价格的原理是什么?假设面值=1,求t=0时刻price,是这么理解吗?