[学习疑问] Derivative部分两道问题求解 exchange, contract, interest

sabina

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?

cfa10yrplan

求对答案
1. ln(1.395/1.4) + 0.02/2

mar350

2. 0.03 * 1M = 30,000 USD
    B performs better coz A needs extra fund to mark to market in the first 2 months

economicz

lz木有答案吗？？另你这个不是equity, 是derivatives

ba736

谢谢牛人的提醒，是derivative part，但是没有答案，所以才求助于论坛的达人们，谢谢你的热心解答

Iginla2011

两个交易员的盈利是一样的。除了mark to market，本质上futures and forwards 是一样的。