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Dear Mr. Moffat,
I got a little bit confused by what is the correct appriach to number of futures contracts calculation.
1. Just going through CMC Co question – they used today’s futures rate to translate the currency for number of contracts calculation.
2. At the same time I was watching technical video (“Basis risk”) where it was mentioned that P2 which is futures rate at the date of the underlying transaction (which is calculated using the basis risk) must be used to calculate N number of contracts.
What is the correct approach the examiner expects?
Thank you in advance!
There are good arguments for using either, and the examiner will accept either 🙂
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