【FRM每日一题】一级:金融市场与产品
备考FRM一级 | 2015-08-21
The continuously compounded 10-year spot rate is 5% and the 9-year spot rate is 4.8%. The 1-year forward rate nine years from now is closest to:
A.4.1%.
B.5.1%.
C.5.9%.
D.6.8%.
Answer:D
RForward = R2 + (R2 - R1) x [T1 / (T2 -T1)] = 0.05 + (0.05-0.048) x [9 /(10 - 9)] = 6.8%
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