International Finance: Putting Theory Into Practice
6.4. HEDGING WITH FUTURES CONTRACTS 243 6.4.6 Adjusting for the Sizes of the Spot Exposure and the Futures Contract Contract Thu ...
244 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES into even deeper sloughs of despond despair when they remember that the calcu- la ...
6.5. THE CFO’S CONCLUSION: PROS AND CONS OF FUTURES CONTRACTS RELATIVE TO FORWARD CONTRACTS 245 to adjust the confidence interva ...
246 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES Given the liquidity of the secondary market for futures, futures positions can b ...
6.6. APPENDIX: EUROCURRENCY FUTURES CONTRACTS 247 6.6 Appendix: Eurocurrency Futures Contracts Eurocurrency futures contracts ca ...
248 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES Many of the European futures contracts are in effectcollateralized forward con- t ...
6.6. APPENDIX: EUROCURRENCY FUTURES CONTRACTS 249 the two spot rates then gives us the link with the forward rate: Vt,Tf 1 ,T 2 ...
250 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES Figure 6.3:Interest-rate Futures as reported by the Financial Times 06/06/06 Open ...
6.6. APPENDIX: EUROCURRENCY FUTURES CONTRACTS 251 corresponds to three months (1/4 year). Thus, as a first-order approximation, ...
252 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES FRAs are tailor-made, over-the-counter instruments and are, therefore, more flex ...
6.6. APPENDIX: EUROCURRENCY FUTURES CONTRACTS 253 Technical Note 6.1 Why gammas are below unity Technically, the rule of thumb o ...
254 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES 5.8 Test Your Understanding 5.8.1 Quiz Questions For each pair shown below, whic ...
6.7. TEST YOUR UNDERSTANDING 255 (h) A hedge on foreign currency accounts receivable or accounts payable that is due on a day ot ...
256 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES (a) Japanese yen? (b) New Zealand Dollar? (c) Swiss Franc? What is the open inte ...
6.7. TEST YOUR UNDERSTANDING 257 5.8.2 Applications Innovative Bicycle Makers of Exeter,uk, must hedge an accounts payable of m ...
258 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES On the morning of December 6, you purchased a futures contract for oneeur at a r ...
6.7. TEST YOUR UNDERSTANDING 259 (b) Should you use theusdcontract, in view of the low t-statistic? Or should you only use theau ...
260 CHAPTER 6. THE MARKET FOR CURRENCY FUTURES ...
Chapter 7 Markets for Currency Swaps As already discussed in Chapter 5, the choice of the currency of borrowing may be difficult ...
262 CHAPTER 7. MARKETS FOR CURRENCY SWAPS both. And these are just the plain-vanilla cases; manyad-hocstructures can be arranged ...
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