Problem $4$

Suppose you owe $12\mathrm{.}5$ million in $45$ days

$$ futures mature in $90$ days

Currently, $S=$$$\frac{1\mathrm{.}2900}{}$ and $F=$$$\frac{1\mathrm{.}3300}{},$ so

basis $=-$$$\mathrm{.}04$

Futures contract size is $125,000$

How would you hedge?

Do you know your net Cash Flow on day $45?$

What is your net Cash Flow on day $45$ if $S=$$$\frac{1\mathrm{.}35}{}$ and

$F=$$$\frac{1\mathrm{.}39}{}?$