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6. In BIST VIOP, USDTRY June futures contracts (expiry on 29/06) require 550 margin for each $1,000 contract. The current spot rate is O =
6. In BIST VIOP, USDTRY June futures contracts (expiry on 29/06) require 550 margin for each $1,000 contract. The current spot rate is O = 20.28 /$ and the futures price is 29/O6 = 20.75. On the other hand, in the London swap market, the swap rates for 29/06 are quoted as = 38.10% and $ = 4.30%.
a. To hedge against a USDTRY exposure, which market would you prefer, VIOP futures or London forwards?
b. Based on the figures given, is there an arbitrage profit in the current futures versus forward prices? If so, how?
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