lshi018 发表于 2010-4-26 17:03
spot rate 是 zero-coupon bond 的YTM 。

具体的计算应该是解二元二次方程。

irvingy 发表于 2010-4-27 02:02
8# aj_goodnews
those two guys have no idea what they're talking about
well, when the first guy said "解二元二次方程", it might be typo, when the second guy, who by the way is a charlatan, said "agreed", it's just hilarious
extra information is needed to answer your question
assume 1) those two bonds are just issued and 2) coupons are paid annually
define P(t, T) as the time t price of zero coupon bond that matures at time T
30 * P(0, 1) + 1030 * P(0, 2) = 924.3
120 * P(0, 1) + 1120 * P(0, 2) = 1087.2
solve it you get P(0, 1) = 0.94, P(0, 2) = 0.87
ignore day count convention, spot rates are r(1) = 6.19%, r(2) = 6.96%, forward rate f(1, 2) = 7.74%, all rates are continuously compounding