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An investment manager based in Germany hedges a portfolio of UK gilts with a 3-month forward contract. The current spot rate is GBPO.833/EUR and the

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An investment manager based in Germany hedges a portfolio of UK gilts with a 3-month forward contract. The current spot rate is GBPO.833/EUR and the 90-day forward rate is GBP0.856/EUR. At the end of 3 months, the gilts have risen in value by -2.50% (in GBP terms), and the spot rate is now GBP0.82/EUR. What was the true cost of the forward contract? O a. 11.044% annualised. % O b. 17.287% annualised. O c. 7.287% annualised. . O d. 14.787% annualised

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