用于汇率风险管理衍生产品货币期货和期货市场.pptVIP

An example of a CME cross hedge It is now January 18. You need to hedge a DKr （丹麦货币）100 million obligation due on June 16. Spot (cross) exchange rates are $0.75/DKr, €0.75/DKr, and $1.00/€. A CME € futures contract expires on June 16 with a contract size of €100,000 In this cross hedge, there is a maturity match but a currency mismatch. Based on st$/DKr = a + b st$/€ + et , you estimate b = 1.040 with r2 = 0.89. How many CME futures contracts should you buy to minimize the risk of your hedged position? The cross hedge solution Optimal hedge ratio: NFut* = (amt in futures)/(amt exposed) =