# Q 11 AM

does anyone remember the exact question statement ? were we provided the DDctd or the MD(fut) ?

What is the domestic currency? And what are the foreign currencies? It seemed to me JPY is the domestic currency. USD and EUR are the foreign currencies.

CAPM Wrote: ------------------------------------------------------- > What is the domestic currency? And what are the > foreign currencies? > > It seemed to me JPY is the domestic currency. USD > and EUR are the foreign currencies. I am with you on that. which is why all those numbers came up in gazillion digits. I remeber shorting futures, I just cant recall 9000 or 7000

It was a Japanese company that had USD and Euro exposures and wanted to hedge them.

the way I did it was for the first part they gave you the proportional dollar amounts of the portfolio in USD and Euro and then gave you the futures contracts in amounts per local currency of 100,000 (yen was domestic). So all you had to do was divide the amount allocated to each by by 100,000. 9000 and 7000 sound correct. Futures price was not needed for this.

s23dino Wrote: ------------------------------------------------------- > No I thought multiplier was the 100k and the price > was the 115, but i’m sure I got it confused and > wrong, hopefully they give me some pts. > > thanks > > Such an easy concept that I knew and I blew it, > d@mn! So crunched for time… I did it this way too, but screwed up part B trying to calc hedged return. # of zeroes and the size of #s had me confused. I think this is the correct way, but still not sure.

LargeMouthBass Wrote: ------------------------------------------------------- > the way I did it was for the first part they gave > you the proportional dollar amounts of the > portfolio in USD and Euro and then gave you the > futures contracts in amounts per local currency of > 100,000 (yen was domestic). So all you had to do > was divide the amount allocated to each by by > 100,000. 9000 and 7000 sound correct. Futures > price was not needed for this. wasnt there a CTD and a conversion factor involved in this calc ?

You absolutely needed the prices to calculate the change in MV. How else could you determine the hedged return? CTD was a PM question, wasn’t it?

hezagenius Wrote: ------------------------------------------------------- > You absolutely needed the prices to calculate the > change in MV. How else could you determine the > hedged return? > > CTD was a PM question, wasn’t it? Damn, you are right ! My memory of AM is getting foggier by the day. All I can recall is that price was not a factor (or didn’t seem like) …I have no recollection of my answer