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Circlrmo · 2024年06月24日

有时用1.名义利率=真实利率+通货膨胀利率）有时用2.（1+名义利率）=（1+真实利率）（1+通货膨胀利率）

  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：


1.名义利率=真实利率+通货膨胀利率）2.（1+名义利率）=（1+真实利率）（1+通货膨胀利率）

这两个公式使用是否有讲究，还是可以互用？

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品职答疑小助手雍 · 2024年06月24日

同学你好，这两个你尝试都用的话也会发现结果差不多，没有特别的讲究。

考试不会出现因为这种误差而存在的两个近似选项，不会影响选择。

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