medium · FRM Part 2 Market Risk
A portfolio of 100 million is mapped to its risk factors. The portfolio contains a long position in a 6-month FX Forward (long EUR vs. short USD).
Which of the following correctly describes the primitives used for mapping this position?
- Long foreign zero, short domestic zero, and spot FX exposure
- Long domestic zero and short foreign equity exposure
- Spot FX exposure only, since the forward price never moves
- A single synthetic zero-coupon bond priced at the fixed forward rate
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