题目
The continuously compounded 10-year spot rate is 5% and the 9-year spot rate is 4.8%. The 1-year forward rate nine years from now is closest to:
选项
A.4.1%
B.5.1%
C.5.9%
D.6.8%
答案
D
解析
RForward = R2 + (R2 – R1) x [T1 / (T2 - T1)] = 0.05 + (0.05-0.048) x [9 /(10 - 9)] = 6.8计算过程如下：RForward = R2 (R2 – R1) x [T1 / (T2 - T1)] = 0.05 (0.05-0.048) x [9 /(10 - 9)] = 6.8