题目
If French money market instrument pays in Euros with an interest rate of 5.0% per annum with (discrete) annual compounding and under an actual/360-day count (ACT/360) convention, what is the equivalent rate under continuous compounding under an actual/365 day count?
选项
A.4.879%
B.4.947%
C.5.000%
D.5.069%
答案
B
解析
365/360×LN(1＋5%) = 4.947%365/360×LN(1＋5%) = 4.947%