Question
Exchange rate is currently $1.85 US per 1 British pound. Interest rate is 4% in the US and 3% in the UK. A bank is
Exchange rate is currently $1.85 US per 1 British pound. Interest rate is 4% in the US and 3% in the UK. A bank is short a futures contract on 1,000,000 pounds with F= $1.9 million maturing in one year. Find the delta of the banks position.
| a. | 1,900,000 | |
| b. | -970,873.79 | |
| c. | 1,826,923.08 | |
| d. | -1,796,116.50
|
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Personal Finance And Investments
Authors: Keith Redhead
1st Edition
0415428629, 978-0415428620
