Hi,
q27 from Kaplan asks for 5 months forward rate basing on 3 months and 1 year forwards (1,9066 and 1,8901). The calculation goes as follows: 1,9066*(7/9) + 1,8901*(2/9) = 1,9029
Can someone explain where these proportions - 7/9 and 2/9 - come from?
q27 from Kaplan asks for 5 months forward rate basing on 3 months and 1 year forwards (1,9066 and 1,8901). The calculation goes as follows: 1,9066*(7/9) + 1,8901*(2/9) = 1,9029
Can someone explain where these proportions - 7/9 and 2/9 - come from?