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Lammmer plc kaplan kit Q no 20 jun06 (a)

This topic has 2 replies, 2 voices, and was last updated 8 years ago by rc32.

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December 9, 2015 at 6:26 am #289421
abdelbagi2004
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Forword market hedge
the estimated five month forward rate is:
1.9066 *7/9+1.8901*2/9=1.9029
it is five month headge why he calculatelike that please explain
December 10, 2015 at 8:42 am #290099
abdelbagi2004
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also in the revision note
value at risk
Note: from normal distribution tables, 1.65 SD’s gives 95% confidence; 2.58 SD’s gives 99% confidence
99% confidence is it give .5-.01 =.4900 that in table = 2.33
December 11, 2015 at 3:56 am #290798
rc32
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You are not given the 5 month forward rate so you have to estimate it as if the exchange rate moves linearly
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