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2017-03-13 17:55問題：原版書R36-3 Interest Rate Trees and Arbitrage-Free Valuation：課后習(xí)題Q3的C選項(xiàng)：Node 2-2 approximates the implied one-year fwd rate one year from now. 我：此題我用排除法排除了A和B選項(xiàng)，對C選項(xiàng)理解不是很清晰。只在此本原版書P.80找到這句"The middle rate will be close to the implied one-year fwd rate one year from now drived from the spot curve." 回到Q3，那么以此類推，本題目的Exhibit3的Year4的middle rate是3.4394%，則這個又approximates了which period的fwd rate了呢？（是不是close to fwd(3,1)呢？）謝謝老師的回答！Thanks very much.
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1個回答
Vito Chen助教
2017-03-17 13:12
該回答已被題主采納
這道題目是原版書寫錯了，在今年的勘誤表里做了修正，C選項(xiàng)是“Node 2-2 approximates the implied one-year fwd rate two years from now.”
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