文档介绍：该【CFA二级经典题 固定收益 标准版 】是由【经管专家】上传分享，文档一共【433】页，该文档可以免费在线阅读，需要了解更多关于【CFA二级经典题 固定收益 标准版 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。eCFA二级原版书课后题1-386Reading32TheTermStructureandInterestRateDynamics2-386Example?Aone-yearzero-%.Thetwo-andthree-yearzero-%%-386Example?Therateforaone-yearloanbeginninginoneyearisclosestto:%.%.%.4-386Example?Answer:ClllFromtheforwardratemodel,wehave=[1+r(1)]1[1+f(1,1)]1[1+r(2)]2Usingtheone-andtwo-yearspotrates,wehave(1+)2(1+)l(1+.05)2=(1+.04)1[1+f(1,1)]1,so?1=f(1,1)=%5-386Example?Theforwardrateforatwo-yearloanbeginninginoneyearisclosestto:%%%6-386Example?Answer:ClllFromtheforwardratemodel,=[1+r(1)]1[1+f(1,2)]2[1+r(3)]3Usingtheoneandthree-yearspotrates,wefind(1+)3(1+)l(1+)3=(1+)1[1+f(1,2)]2,so?1=f(1,2)=%7-386Example?Theforwardrateforaone-yearloanbeginningintwoyearsisclosestto:%%%8-386Example?Answer:ClllFromtheforwardratemodel,=[1+r(2)]2[1+f(2,1)]1[1+r(3)]3Usingthetwoandthree-yearspotrates,wefind(1+)3(1+)l(1+)3=(1+)2[1+f(2,1)]1,so?1=f(2,1)=%9-386Example?Thefive-yearspotrateisnotgivenabove;however,theforwardpriceforatwo-yearzero--yearzero-couponbondisclosestto:-386