作者kk33227 (放假罗~)
看板CFAiafeFSA
标题[问题] BPP FM 里面关於T-bill的问题
时间Mon Feb 4 23:35:30 2013
Question 6.17
A T-bill maturing in 150 days for $1,000,000 has a current price of $979,167.
A T-bill maturing in 60 days for $1,000,000 has a current price of $993,333.
Calculate the future price of a 90-day T-bill to be delivered in 60 days.
解答的答案是
(1+rf)^(T-t)=1,000,000/993,333
F(t,T)=St(1+rf)^(T-t)=979,167*1,000,000/993,333=985,739
我想请问的是为什麽St可以用979,167去代
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