(三十三)远期利率协议的结算金、价值与定价

远期利率 远期利率是由当前零息利率所隐含的对于将来某一时间区间的利率,确定了零息利率曲线之后就可以求得所有的远期利率。T1至T2之间的远期利率RF可表示为RF=(R2T2-R1T1)/(T2-T1)。假设一年期至五年期的连续复利零息利率为2.5%,2.8%,3.2%,3.7%,4.5%,计算第2、3、4、5年的远期利率: import numpy as np import pandas as pd def f(R2,T2,R1,T1): return (R2*T2-R1*T1)/(T2-T1) r=np.array([0.025,0.028,0.032,0.037,0.045]) t=n