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Which exchange rate to use? Schweser B4 pg 115 example
hi,
its a long example. the gist is
“U.S. investor have 1m euros to invest. the current spot rate is $1.2888/euro. Investor then hedges the principal of 1m euros by selling 1m in euro futures at $1.2891/euro.
time passes and its time to lift the hedge. Current spot exchange rate is 1.2760/euro and futures exchangerate is 1.2763/euro.”
in the book, the examples uses the rate of 1.2891/euro (for the initial selling of futures) and 1.2763/euro for the subsequent covering. my question is…can the investor use the spot rate of 1.2760 instead to cover the short future? using another future will lengthen the time of translating back to USD, no?
thanks. cant get my head around this… |
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发表于 2013-5-4 09:38
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