问一道题：NO.PZ2017121101000013 [ CFA III ]

NO.PZ2017121101000013 问题如下 SarKo, a private wealth aiser in Singapore, is veloping a short- term interest rate forecast for her private wealth clients who have holngs in the US fixeincome markets. Ko nee to unrstancurrent market expectations for possible upcoming centrbank (i.e., US FerReserve Boar rate actions. The current prifor the fefun futures contraexpiring after the next FOMC meeting is 97.175. The current ferfun rate target range is set between 2.50% an2.75%.Explain how Ko cuse this information to unrstanpotentimovements in the current ferfun rate. First, Ko knows ththe FFE rate impliethe futures contrapriof 97.175 is 2.825% (= 100 – 97.175). This is the rate thmarket participants expeto the average ferfun rate for thmonth.Secon Ko shoultermine the probability of a rate change. She knows the 2.825% FFE rate impliethe futures signals a fairly high chanththe FOMC will increase rates 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%. She calculates the probability of a rate hike follows:(2.825%-2.625%)/(2.875%-2.625%)=0.80 or 80%Ko cnow incorporate this probability of a Ferate hike into her forecast of short-term US interest rates.中文解析97.175期货合约价格隐含的FFE汇率为2.825%(= 100 - 97.175)。这是市场参与者预期的当月联邦基金平均利率。P = expecteFFE rate - current ferfun rate / 25 = [ 2.825% - 1/2(2.5%+ 2.75%) ] / 25=0.80 the FOMC will increase rates 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%，请问the new target range of 2.75%–3.00%是怎么得出的？

NO.PZ2017121101000013 问题如下 SarKo, a private wealth aiser in Singapore, is veloping a short- term interest rate forecast for her private wealth clients who have holngs in the US fixeincome markets. Ko nee to unrstancurrent market expectations for possible upcoming centrbank (i.e., US FerReserve Boar rate actions. The current prifor the fefun futures contraexpiring after the next FOMC meeting is 97.175. The current ferfun rate target range is set between 2.50% an2.75%.Explain how Ko cuse this information to unrstanpotentimovements in the current ferfun rate. First, Ko knows ththe FFE rate impliethe futures contrapriof 97.175 is 2.825% (= 100 – 97.175). This is the rate thmarket participants expeto the average ferfun rate for thmonth.Secon Ko shoultermine the probability of a rate change. She knows the 2.825% FFE rate impliethe futures signals a fairly high chanththe FOMC will increase rates 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%. She calculates the probability of a rate hike follows:(2.825%-2.625%)/(2.875%-2.625%)=0.80 or 80%Ko cnow incorporate this probability of a Ferate hike into her forecast of short-term US interest rates.中文解析97.175期货合约价格隐含的FFE汇率为2.825%(= 100 - 97.175)。这是市场参与者预期的当月联邦基金平均利率。P = expecteFFE rate - current ferfun rate / 25 = [ 2.825% - 1/2(2.5%+ 2.75%) ] / 25=0.80 如题

NO.PZ2017121101000013 问题如下 SarKo, a private wealth aiser in Singapore, is veloping a short- term interest rate forecast for her private wealth clients who have holngs in the US fixeincome markets. Ko nee to unrstancurrent market expectations for possible upcoming centrbank (i.e., US FerReserve Boar rate actions. The current prifor the fefun futures contraexpiring after the next FOMC meeting is 97.175. The current ferfun rate target range is set between 2.50% an2.75%.Explain how Ko cuse this information to unrstanpotentimovements in the current ferfun rate. First, Ko knows ththe FFE rate impliethe futures contrapriof 97.175 is 2.825% (= 100 – 97.175). This is the rate thmarket participants expeto the average ferfun rate for thmonth.Secon Ko shoultermine the probability of a rate change. She knows the 2.825% FFE rate impliethe futures signals a fairly high chanththe FOMC will increase rates 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%. She calculates the probability of a rate hike follows:(2.825%-2.625%)/(2.875%-2.625%)=0.80 or 80%Ko cnow incorporate this probability of a Ferate hike into her forecast of short-term US interest rates.中文解析97.175期货合约价格隐含的FFE汇率为2.825%(= 100 - 97.175)。这是市场参与者预期的当月联邦基金平均利率。P = expecteFFE rate - current ferfun rate / 25 = [ 2.825% - 1/2(2.5%+ 2.75%) ] / 25=0.80 如果market implieinterest rate高于fetarget rate, 应该是rate op 而不是rate hike吧？market rate应该是朝着target的方向去？

NO.PZ2017121101000013 问题如下 SarKo, a private wealth aiser in Singapore, is veloping a short- term interest rate forecast for her private wealth clients who have holngs in the US fixeincome markets. Ko nee to unrstancurrent market expectations for possible upcoming centrbank (i.e., US FerReserve Boar rate actions. The current prifor the fefun futures contraexpiring after the next FOMC meeting is 97.175. The current ferfun rate target range is set between 2.50% an2.75%.Explain how Ko cuse this information to unrstanpotentimovements in the current ferfun rate. First, Ko knows ththe FFE rate impliethe futures contrapriof 97.175 is 2.825% (= 100 – 97.175). This is the rate thmarket participants expeto the average ferfun rate for thmonth.Secon Ko shoultermine the probability of a rate change. She knows the 2.825% FFE rate impliethe futures signals a fairly high chanththe FOMC will increase rates 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%. She calculates the probability of a rate hike follows:(2.825%-2.625%)/(2.875%-2.625%)=0.80 or 80%Ko cnow incorporate this probability of a Ferate hike into her forecast of short-term US interest rates.中文解析97.175期货合约价格隐含的FFE汇率为2.825%(= 100 - 97.175)。这是市场参与者预期的当月联邦基金平均利率。P = expecteFFE rate - current ferfun rate / 25 = [ 2.825% - 1/2(2.5%+ 2.75%) ] / 25=0.80 Effective FerFunrate impliethe fefun futures contrais 100-97.175=2.825%; current ferfun rate=(2.50%+2.75%)/2=2.625%(FFE-current ferfun rate)/25bps=(2.825%-2.625%)/25bps=80%Ko coulexpea 80% probability interest rate hike after the next FOMC meeting.

NO.PZ2017121101000013 问题如下 SarKo, a private wealth aiser in Singapore, is veloping a short- term interest rate forecast for her private wealth clients who have holngs in the US fixeincome markets. Ko nee to unrstancurrent market expectations for possible upcoming centrbank (i.e., US FerReserve Boar rate actions. The current prifor the fefun futures contraexpiring after the next FOMC meeting is 97.175. The current ferfun rate target range is set between 2.50% an2.75%.Explain how Ko cuse this information to unrstanpotentimovements in the current ferfun rate. First, Ko knows ththe FFE rate impliethe futures contrapriof 97.175 is 2.825% (= 100 – 97.175). This is the rate thmarket participants expeto the average ferfun rate for thmonth.Secon Ko shoultermine the probability of a rate change. She knows the 2.825% FFE rate impliethe futures signals a fairly high chanththe FOMC will increase rates 25 bps from its current target range of 2.50%–2.75% to the new target range of 2.75%–3.00%. She calculates the probability of a rate hike follows:(2.825%-2.625%)/(2.875%-2.625%)=0.80 or 80%Ko cnow incorporate this probability of a Ferate hike into her forecast of short-term US interest rates.中文解析97.175期货合约价格隐含的FFE汇率为2.825%(= 100 - 97.175)。这是市场参与者预期的当月联邦基金平均利率。P = expecteFFE rate - current ferfun rate / 25 = [ 2.825% - 1/2(2.5%+ 2.75%) ] / 25=0.80 25bps可以直接背下来，如果考试就直接用么？没太搞得懂怎么推出来的