The relationship between the spot and Forward Rates: Example 2 100e72*2e/31=100已3*3 e2*2+/3*1 =e3*3 P*2+∫3米 3 J∫3 33 3-2*2 ∫3=0.108*3-0.105*2=0.114=11.4% Charles cao10 Charles Cao The Relationship Between the Spot and Forward Rates: Example 2 f . . . . % f r r r f r e e e e e r f r r f r 0 108 3 0 105 2 0 114 11 4 3 2 2 1 3 100 100 3 3 3 2 2 3 3 2 1 3 2 1 3 2 3 3 2 3 3 =  −  = = =  −   +  =  = =  +     