Revision as of 00:23, 20 November 2023 by Admin (Created page with "The prices of zero-coupon bonds are: {| class="table table-bordered" ! Maturity !! Price |- | 1 || 0.95420 |- | 2|| 0.90703 |- | 3 || 0.85892 |} Calculate the one-year forward rate, deferred two years <ul class="mw-excansopts"><li>0.048</li><li>0.050</li><li>0.052</li><li>0.054</li><li>0.056</li></ul> {{soacopyright | 2023 }}")
Nov 20'23
Exercise
The prices of zero-coupon bonds are:
| Maturity | Price |
|---|---|
| 1 | 0.95420 |
| 2 | 0.90703 |
| 3 | 0.85892 |
Calculate the one-year forward rate, deferred two years
- 0.048
- 0.050
- 0.052
- 0.054
- 0.056
Copyright 2023 . The Society of Actuaries, Schaumburg, Illinois. Reproduced with permission.
Nov 20'23
Solution: E
[[math]]
\begin{array}{l}{{(1+s_{3})^{3}=(1+s_{2})^{2}(1+1f_{2})}}\\ {{0.85892={\frac{1}{(1+s_{2})^{3}}},s_{3}=0.052}}\\ {{0.90703=\frac{1}{(1+s_{2})^{2}},s_{2}=0.050
}}\\ {{1.052^{3}=1.050^{2}(1+_1f_{2})
}}\\ {{_1f_{2} = 0.056}}\end{array}
[[/math]]
Copyright 2023 . The Society of Actuaries, Schaumburg, Illinois. Reproduced with permission.