YL2024-02-04 21:16:50

Derivatives-L1V5-Module 5-Question 4-C选项所说的，first substitute the one-year rate (r1) into the two-year bond price equation to solve for the two-year spot or zero rate (z2), then set (1 + r1) × (1 + breakeven reinvestment rate) = (1 + z2)2 and solve for the breakeven reinvestment rate. 但是根据2023年版书P265-Example 7-已知条件第2点，z2是已知的，不用将“一年期利率(r1)代入两年期债券价格方程求解两年期现货利率或零利率(z2)”，书上这道例题和这道题Question 4的C选项所陈述的不一致？如果，根据Question C选项所说的来算书上这道Example 7, 100*(1+z1)^2=100*(1+2.396%)^2=104.8494082，那么z2=4.849%, 而不是书上已知条件所说的two-year zero rate (z2)=3.4197%