单选题
The following interest rate information is observed:
Spot Rates
1 year
10%
2 years
11%
3 years
12%
Based on this data, the 2 - year forward rate one year from now is closest to:
A. 11%.
B. 12%.
C. 13%.
A
B
C
【正确答案】
C
【答案解析】
2
f
1
=[(1+23)
1+2
/(1+z
1
)
1
]
1/2
-1=[(1+12)
3
/(1.10)]
1/2
-1=13.01%
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