题目
The price of a $100 par zero-coupon bond with four (4) years to maturity is $88.00. The price of a $100 par zero-coupon bond with five (5) years to maturity is $82.00. Under continuous compounding, what is the implied forward rate, r(4.0, 5.0)?
选项
A.4.06%
B.5.06%
C.6.06%
D.7.06%
答案
D
解析
The solution is as follows:LN(88/82) = 7.06%.这道题的解析如下：LN(88/82)=7.06%.