CFA一級考試中有定量考試題,雖然考試考的不多,但是還是有的,不知道考生備考CFA考試是不是掌握了Fixed Income題,一起做一下~
Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
A. 4.41%
B. 2.20%
C. 2.30%
Answer:A
Assume:
xfy represents x-period forward rate y-period from now;
Z x+y represents (x+y)-period spo
We have (1+Z x+y)x+y=(1+Zy)y (1+xfy)x
6-month forward rate one year from now in this case is 1 period forward rate 2-period from now.
All spot rates are given on a BEY basis and must be divided by 2 in the calculation:
(1+1f 2)1 (1+0.023/2)2=(1+0.03/2)3
1f 2=0.022038
On a BEY basis, the forward rate is 0.022038*2=4.41%
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