On the morning of December 6, you purchased a futures contract for one eur at a rate

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On the morning of December 6, you purchased a futures contract for one eur at a rate of inr/eur 55. The following table gives the subsequent settlement prices and the p.a. bid-ask interest rates on a INR investment made until December 10.

(a) What are the daily cash flows from marking to market?

(b) What is the total cash flow from marking to market (ignoring discounting)?

(c) If you must finance your losses and invest your gains from marking to market, what is the value of the total cash flows on December 10?

On the morning of December 6, you purchased a futures

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International Finance Putting Theory Into Practice

ISBN: 978-0691136677

1st edition

Authors: Piet Sercu

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Question Posted: Aug 07, 2017 09:44 AM

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On the morning of December 6, you purchased a futures contract for one eur at a rate

Question:

10 December 52 57 utures price 1200-12.25 11.50-11.75 13.00-13.25 13.50-13.75 NA bid-ask interest rates, INR, % pa.

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a b eur 0 c Using t...View the full answer

International Finance Putting Theory Into Practice

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