NO.PZ2016031001000088
问题如下：
All rates are annual rates stated for a periodicity of one (effective annual rates).
The 3-year implied spot rate is closest to:
选项：
A.1.18%.
B.1.94%.
C.2.28%.
解释：
B is correct.
The 3 year implied spot rate is closest to 1.94%. It is calculated as the geometric average of the one-year forward rates:
(1.0080 × 1.0112 × 1.0394) = (1 + z3)3
1.05945 =(1+Z3)3
[1.05945]1/3= [(1+Z3)3] 1/3
1.01944 = 1 + z3
1.01944-1 = z3
0.01944 = z3, z3 = 1.944% or approximately 1.94%
考点：spot rate & forward rate
解析：(1+S3 )3 =[1+f(0y1y)]×[1+f(1y1y)]×[1+f(2y1y)]，把表格内的数据代入公式的右边，就可以反求出S3 =1.94%，故选项B正确。
为什么不是从1y1y开始，到3y1y? 0y1y 不是0时刻的利率吗
