Question
Q. A year ago you took a 1-yr long Sf forward position with a contract amount of A $ =$1000. The 1-yr forward rate was
Q. A year ago you took a 1-yr long Sf forward position with a contract amount of A$ =$1000. The 1-yr forward rate was 1.15 Sf/$. With 5 months lefts until delivery time, the spot is now 1.20 Sf/$, the 1-yr, the 1-yr USD interest rate is 5% and 1-yr Swiss interest rate is 4%. What is MTM of the long position?
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
9th Edition
0324656122, 978-0324656121
