It is now the middle of April. You have bought and sold EUR 10 million against Swiss francs, 2 months against 5 months

(a 91-day period), with settlement rates of 1.6000 and 1.5910.

You wish to hedge the position. Given the following rates, what is the cheapest way of hedging, and approximately what profit or loss do you expect on doing so?

EUR/CHF spot: 1.6038/48 2 months: 69/65 5 months: 168/162 EUR 2v5 FRA: 4.0/4.1%

CHF 2v5 FRA: 1.5/1.6%

EUR June futures: 95.95/95.96 CHF June futures: 98.39/98.40