An investment manager based in Germany hedges a portfolio of UK gilts with a 3 month forward contract The current spot rate is GBP0 833 EUR and the 90 day forward rate is GBP0 856 EUR At the end of 3 months, the gilts have risen in value by 2 50 (in GBP terms), and the spot rate is now GBP0 82 EUR...

To determine the true cost of the forward contract we need to compare the returns from the hedged po ...

An investment manager based in Germany hedges a portfolio of UK gilts with a 3-month forward...

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Multinational financial management

ISBN: 978-1118572382

10th edition

Authors: Alan c. Shapiro

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