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题目如下，恳求论坛的牛人们伸出援手相助，感激不尽
1. The current USD/EURO exchange rate is 1.3950 dollar per euro. The 6 months forward exchange rate is 1.4000. The 6 months USD interest rate is 2% per annum continuously compounded. Estimate the 6 months euro interest rate
2. Trader A enters into futures contracts to buy 1 million euros for 1.35 million dollars in three months. Trader B enters in a forward contract to do the same thing. The exchange(dollars per euro) decline sharply during the first 2 months and then increases for the 3rd months to close at 1.3800. Ignoring daily settlement, what is the total profit of each trader? When the impact of daily settlement is taken into account, which trader does better? |
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发表于 2012-6-15 10:49
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