The sample period for this project is from 10/21/2019 (today) to 11/15/2019 (4 weeks). You will need to collect real-time data starting from 10/21/2019.

On 10/21/2019, your company receives 100 mil Euros. If you convert this Euros to USD now, it will be worth about $111,649,900. You are extremely happy with this current exchange rate and would take this US dollar value. But if you convert now, you have to pay a high tax today.

Instead, you decide to convert Euros to USD next month and delay paying the tax. This delayed action comes with a risk. Since EUR/USD exchange rate fluctuates every day, the US dollar value of your Euros next month will no longer be the same dollar amount. This risk is called currency risk, aka foreign exchange rate (FOREX) risk.

The objective of this project is to design a strategy today such that the conversion value stays close to $111.650 mil throughout the whole sample period. The financial instrument for this project is Euro FX futures contract expiring in "Nov 2019".

3. For every trading day (skip holiday/weekends) during the sample period, collect the EUR/USD exchange rate (from either Bloomberg, Google, Fed, etc) and Euro FX futures price (from CME website above).

The above screenshot is what the Euro FX futures quotes look like at cmegroup.com. The price you need to collect is "Last" price (not Open, High, Low).

(Hint: There are free sources on the internet to get the futures price history. If you know how-to, then you don't have to visit the cmegroup.com every day to collect data. You can discuss whether your source is legit in Slack.)

Prepare a spreadsheet and create 3 columns for

a.Date (exclude non-trading days)

b.EUR/USD exchange rate

c.Euro FX futures price

(Hint: The above screenshot is what your spreadsheet will look like.)

(Hint: Futures price and FOREX will not be identical to each other. But they should be very similar. If your FX futures price is 0.80 and FOREX is 1.20, then it's most likely an error.)