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Cooljas · 2024年04月27日

请再解释一下吧 视频不太懂

  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：



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1 个答案

李坏_品职助教 · 2024年04月27日

嗨，爱思考的PZer你好：


已知，现在的即期汇率是：1 EUR = 1.3 USD。

美国3年期的无风险实际利率是1%，通货膨胀率2%，由此可得美国的名义无风险利率是3%.

欧元区的无风险实际利率是1.25%,通货膨胀率是2.5%，由此可得欧元区的名义无风险利率是3.75%.

让你求出3年的欧元/美元的远期汇率是多少？

现在已知，S=1.3，R_yyy = 3%, R_xxx = 3.75%, T= 3.

所以F = 1.3 * [(1+3%) / (1+3.75%)]^3 = 1.27.


公式里面的XXX代表EUR，而YYY代表计价货币USD。



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