An investor holds a 1 month short forward position on the USD. Contract calls for this investor to sell 1 million USD in 1 months time at a delivery…

An investor holds a 1 month short forward position on the USD. Contract calls for this investor to sell 1 million USD in 1 months time at a delivery price of $1.61 / USD. The current forward price for delivery in 1 month is $1.585 / USD. The 1 month interest rate is 5%. Whats the value of the position? 

Use Continuous compounding.

0 replies

Leave a Reply

Want to join the discussion?
Feel free to contribute!

Leave a Reply

Your email address will not be published. Required fields are marked *