单选题
The 3-year spot rate is 8.7%, and the 2-year spot rate is 9.2%. What is the 1-year forward rate two years form present?
A、
5.8%
B、
7.2%
C、
7.7%
【正确答案】
C
【答案解析】
[解析] (1+8.7%)
3
=(1+9.2%)
2
×(1+
1
f
2
)
解得2年后的一年期远期利率
1
f
2
=7.7%。
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