#$2$ EURZAR Forward Exchange Contracts

With the same market setup and assumptions as Problem $1,$ assume further that the EURUSD spot exchange

rate is denoted by $Y(t),$ i$.$e$.$ the US Dollar price of Euros, or equivalently, the amount of US Dollars required

to purchase one Euro at time $t+2$ bd$.$ At the current time $t_0,$ assume the existence of the NACC Euro swap

zero curve, denoted by $r_e(t_0,T),$ as well as the NACC EUR basis zero curve, denoted by $\frac{?}{\text{b}\text{a}\text{r}}(r{)}_e(t_0,T).$

Consider a EURZAR Forward Exchange Contract $($FEC$)$ initiated at $t_0$ and maturing at $T.$ Using no$-$arbitrage

portfolio arguments, derive the fair EURZAR FEC rate.