19. What is the market consensus expectation of one year spot rates for delivery one year from now? a. 1.95% p.a. b. _2.65% p.a. c. 2.70% p.a. d. 2.30% p.a. e. 2.75% p.a.
19. What is the market consensus expectation of one year spot rates for delivery one year from now? a. 1.95% p.a. b. _2.65% p.a. c. 2.70% p.a. d. 2.30% p.a. e. 2.75% p.a.
Chapter10: Measuring Exposure To Exchange Rate Fluctuations
Section: Chapter Questions
Problem 33QA
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Transcribed Image Text:Use the following information about today's U.S. Treasury STRIP yield curve to
answer questions 19-21.
One year spot rate
Two year spot rate
Three year spot rate
1.95 % p.a.
2.30% p.a.
2.45% p.a.
19.
What is the market consensus expectation of one year spot rates for
delivery one year from now?
a. 1.95% p.a.
b. 2.65% p.a.
c. 2.70% p.a.
d. 2.30% p.a.
e. 2.75% p.a.
20.
What is the market consensus expectation of one year spot rates for
delivery two years from now?
a. 1.95% p.a.
b. 2.65% p.a.
c. 2.70% p.a.
d. 2.30% p.a.
e. 2.75% p.a.
21. How is the one year spot rate expected to change over the next year?
a. An increase of 8 basis points.
b. An increase of 50 basis points.
c. A decrease of 5 basis points.
d. An increase of 70 basis points.
e. An increase of 35 basis points.
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