CFA一級(jí)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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