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market return=0.007002886 stock return=-0.005579912 Currency mismatch but no maturity mismatch (case II) Assume there are no HC/EUR future contracts. In this case, you could try
market return=0.007002886 stock return=-0.005579912
Currency mismatch but no maturity mismatch (case II) Assume there are no HC/EUR future contracts. In this case, you could try to hedge the EUR 360,000with another currency. Your group has been assigned to a specific foreign currency (FC 1) that you can use as a hedge. Determine the optimal hedge ratio, and how you would implement your strategy to hedge the exposure of EUR 360,000.- (The exchange rate of HC/EUR and HC/FC1 are 0.908714 and 1.139763 respectively. The three months interest rate of HC, FC1 and EUR are 2.5284154 2.288533 and -0.32787 respectively.) Currency mismatch but no maturity mismatch (case II) Assume there are no HC/EUR future contracts. In this case, you could try to hedge the EUR 360,000with another currency. Your group has been assigned to a specific foreign currency (FC 1) that you can use as a hedge. Determine the optimal hedge ratio, and how you would implement your strategy to hedge the exposure of EUR 360,000.- (The exchange rate of HC/EUR and HC/FC1 are 0.908714 and 1.139763 respectively. The three months interest rate of HC, FC1 and EUR are 2.5284154 2.288533 and -0.32787 respectively.)Step by Step Solution
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