Problem 10 Compute the mark to market value of the following long forward Australian Dollar (AUD) contract The size of the contract is AUD 1,000,000 and the forward rate is F 1 USD AUD 0 85 the spot rate at time of the valuation (today) is X N USD AUD 0 75 The AUD and USD interest rates are r AUD 7 and r USD 2 assume the contract matures one year from now (so at t 1)

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Problem 10: Compute the mark-to-market value of the following long forward Australian Dollar (AUD) contract. The size of the contract is AUD 1,000,000 and the

Problem 10: Compute the mark-to-market value of the following long forward Australian Dollar (AUD) contract. The size of the contract is AUD 1,000,000 and the forward rate is F₁^USD/AUD= 0.85; the spot rate at time of the valuation (today) is X_N^USD/AUD= 0.75. The AUD and USD interest rates are: r^AUD = 7% and r^USD = 2%; assume the contract matures one year from now (so at t=1).

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