范同学2019-09-17 11:30:58

1.1.2 Given the following bonds and forward rates:(习题集 259)  1-year forward rate one year from today = 9.56%  1-year forward rate two years from today = 10.77%  2-year forward rate one year from today = 11.32% Which of the following statements about the forward rates, based on the bond prices, is true? A. The 1-year forward rate one year from today is too low. B. The 2-year forward rate one year from today is too high. C. The 1-year forward rate two years from today is too low. D. The forward rates and bond prices provide no opportunities for arbitrage. Answer: C 1-year forward rate one year from today = 1.072/1.045 - 1 = 9.56% 1-year forward rate two years from today = 1.093/1.072 - 1 = 13.11% 老师，这道题的解析是什么意思呀？