标题: market value vs. exposure [打印本页] 作者: fishmarket 时间: 2011-7-11 18:55 标题: market value vs. exposure
How are they calculated differently for a currency forward?
thanks!作者: xilinx_altera 时间: 2011-7-11 18:55
I think it works like this.....
If the forward rate was 2 NZD = 1 USD a NZ investor could expose himself to 50k USD by selling 100k NZD and buying USD (at the forward rate).
Now say the forward exchange rate (at the same settlement date) moved to 2.5 NZD = 1 USD. The market value of the position would be +25k NZD because the investor would have to sell (pay) the 50K USD and buy (receive) 125 NZD to close the position.
