In this question I have tried to calculate the daily losses using the method in your lectures rather than using ticks as below:
1 March:
81 x 200,000 x (1.1410 - 1.1422)/400 = -48.6
2 March:
81 x 200,000 x (1.1418 - 1.1410)/400 = 32.4
And so on...
However these are not the figures calculated in the solution. Please could you explain where I am going wrong with this method.
Thanks
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March 20 Q2c
5y ago#1Why have you divided by 400? We only divide by 400 when they are interest rate futures. These are currency futures.
so on 1 March:
81 x 200,000 x (1.1410 - 1.1422) = 19,440 loss
and so on :-)
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