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
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Advanced Quality Auditing
Authors: Lance B. Coleman
1st Edition
087389913X, 978-0873899130
