求助问题！！请各位高人看一道题~ minimum, believe, sensible, him

sherryheart

assume that one to five year spot rates are respectively r1=5%,r2=5.4%,r3=5.7%, r4=5.9%，r5=6%.suppose someone told you that the six year spot rate was 4.8%
(1) why would you not believe him?
(2) how could you make money if he was right?
(3) what is the minimum sensible value for the six-year spot rate?


谢谢啦！

ayu3321

可以算一下远期利率。
f1 = 1.054^2/1.05 - 1 = 5.8%
f2 = 1.057^3/1.054^2 - 1 = 6.3%
f3 = 1.059^4/1.057^3 - 1 = 6.5%
f4 = 1.06^5/1.059^4 - 1 = 6.4%
f5 = 1.048^6/1.06^5 - 1 = -0.999%

一般来说，无风险的国债收益率作即期利率，所以远期利率不太可能为负。
如果真出现这种情况，大量做空，大量借债才能套利。
第三个问题可拿前4年的远期利率用线性内插法求一个第五年远期利率，然后用第五年即期利率乘第五年远期利率得到第六年即期利率。

sherryheart

回复 1# sherryheart


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