题目
The six-month and one-year discount factors are, respectively, d(0.5) = 0.9920 and d(1.0) = 0.9760. What is the implied six-month forward rate, under semi-annual compounding?
选项
A.2.34%
B.3.28%
C.3.95%
D.4.01%
答案
B
解析
The solution is as follows: (0.9920/0.9760-1)×2 = 3.279%这道题的计算如下：(0.9920/0.9760-1)×2 = 3.279%