1個(gè)回答
金程教育吳老師助教
2018-09-05 14:01
該回答已被題主采納
學(xué)員你好。1-year forward rate one year from today = 1.065^2/1.04– 1 = 9.06%
1-year forward rate two years from today = 1.095^3/1.065^2?– 1 = 15.76%
2-year forward rate one year from today = (1.095^3/1.04)^0.5?– 1 = 12.36%
9.7%>9.06%
11.3%<15.76%
12.27%<12.36%
The 1-year forward rate two years from today is too low.
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追問
我問的是D選項(xiàng)怎么套利，你可以回答我的問題么？
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追答
學(xué)員你好。這涉及到基準(zhǔn)設(shè)定的問題，假設(shè) taday 的遠(yuǎn)期利率是公允的，那么根據(jù)債券價(jià)格推導(dǎo)出的 F1,2偏低，F(xiàn)2,3偏高，即兩年期債券價(jià)格偏高，三年期債券價(jià)格偏低，買低賣高。
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