题目
The term structure of swap rates is: 0.60% at 1 year; 0.90% at 2 years; 1.00% at 3 years; 2.20% at 4 years; 3.10% at 5 years. What is the two-year forward swap rate starting in three years, F(3,5), under respectively, semi-annual (s.a.) and annual compounding?
选项
A.4.89% (s.a.) and 5.07% (annual)
B.5.25% (s.a.) and 5.22% (annual)
C.6.29% (s.a.) and 6.33% (annual)
D.7.03% (s.a.) and 7.14% (annual)
答案
C
解析
SemiannualF(3,5) = ([(1+3.1%/2)^(5×2)/(1+1%/2)^(3×2)]^(1/4)-1)×2 = 6.291%Annual F(3,5) = SQRT(1.031^5/1.01^3)-1 = 6.332%