Is it just me or does this question not actually have appropriate info.
It says a forward to buy pounds is struck at 1.45 with a counterparty. Current exchange rate is 1.4 - who has credit risk.
I don’t think there is actually enough info to answer this question - we need to forward price (or both currencies’ domestic RFR to calc to forward price) to see who is in the money.作者: skycfa 时间: 2013-4-2 12:18
counterparty bears the credit risk because who is long in this contract would say FU to counterparty and might not buy pounds at 1.45 as the spot price is 1.40.
