Maturity mismatch but no currency mismatch (case III):

Assume that there are only Euro future contracts with a maturity of 1 year, so the forward contract

will still have 6 months to go when the EUR 360,000 are received. Determine the optimal hedge ratio,

and how you would implement your strategy to hedge the exposure of EUR 360,000.

NOTE: the effective interest rates that are given in the excel file are for three-month deposits. To

compute the effective six-month interest rates you will need to multiply the three-month deposit

interest rates by two.