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pengyaning · 2023年10月20日

求此道题目的解析，谢谢！

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000070

问题如下：

A trader was asked to determine the no-arbitrage 3-year forward exchange rate between the US dollar and the EUR. She observed that the current spot exchange rate between the US dollar and the EUR is USD 1.30 per EUR. She also checked with the chief economist of the bank and found that. in the US, the 3-year real risk-free interest rate is 1.00% and the expected inflation rate is 2.00%, while in the euro-zone, the 3-year real risk-free interest rate is 1.25% and the expected inflation rate is 2.50% Assuming that the real rates and inflation rates are compounded annually, the trader's best estimate of the 3-year forward exchange rate is closest to:

选项：

A.

USD 1.15 per EUR.

B.

USD 1.22 per EUR.

C.

USD 1.27 per EUR.

D.

USD 1.35 per EUR.

解释：

求此道题目的解析，谢谢！

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1 个答案

pzqa27 · 2023年10月20日

嗨，爱思考的PZer你好：


这个题在经典题section9里有视频讲解，请参考视频讲解，如有问题，我们再进一步讨论

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NO.PZ2023091802000070 问题如下 A trar wasketo termine the no-arbitrage 3-yeforwarxchange rate between the US llanthe EUR. She observeththe currentspot exchange rate between the US llanthe EUR is US1.30 per EUR. Shealso checkewith the chief economist of the bank anfounthat. in the US,the 3-yererisk-free interest rate is 1.00% anthe expecteinflationrate is 2.00%, while in the euro-zone, the 3-yererisk-free interest rateis 1.25% anthe expecteinflation rate is 2.50% Assuming ththe reratesaninflation rates are compounannually, the trar's best estimate of the3-yeforwarexchange rate is closest to: A.US1.15 per EUR. B.US1.22 per EUR. C.US1.27 per EUR. US1.35 per EUR.

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