財金所一題考古題 - 金融分析師

A 3-year,zero coupon Treasury bond sells at a price of $816.2979 .

A 2-year,zero coupon Treasury bond sells at a price of $881.6593 .

Assuming the expectation theory is correct, what does the market believe

the price of 1-year,zero coupon bonds will be in three year?




我的想法：

816.2979 = 1000 / (1 + 0r3) ^3

881.6593 = 1000 / (1 + 0r2) ^2


根據預期理論

(1 + 0r3) ^3 = (1 + 0r2) ^2 * (1 + 2f3 )

==> 得到 2f3 這個遠期利率 ， 算出一年期的零息債券價格

P = 1000 / (1 + 2f3)




請問我這樣的想法是對的嗎?? @_@

請高手們解惑~~感謝~~

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