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The futures contract size on the South African rand (ZAR) is $100,000. Futures prices on the USD-ZAR contracts are quoted in rends per $1. Suppose
- The futures contract size on the South African rand (ZAR) is $100,000. Futures prices on the USD-ZAR contracts are quoted in rends per $1. Suppose the futures price is R10.245 and the spot price is R10.165. You wish to transfer $15 million next month to a South African bank in Pretoria.
- To hedge your position, calculate your hedge ratio.
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To calculate your hedge ratio you need to determine how many USDZAR futures c...
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Financial Reporting And Analysis
Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer
8th Edition
1260247848, 978-1260247848
