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- 2011-7-11
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5#
发表于 2011-7-13 13:15
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Ignore my previous post. I obviously reached only half way thru the calc :
(1+A/2)^4 = (1+0.05/2)*(1+0.055/2)*(1+0.06/2)*(1+0.065/2)
(1+B/2)^2 = (1+0.05/2)*(1+0.055/2)
Where A is the spot rate over 2 years , B is the spot rate over 1 year.
So the foward rate on a 1 year term , 1 year from now
is SQRT( (1+0.05/2)*(1+0.055/2)*(1+0.06/2)*(1+0.065/2) / (1+0.05/2)*(1+0.055/2) )
= 1.03125
And the annualized rate is 6.25% |
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