Beruflich Dokumente
Kultur Dokumente
Currency contracts
Eurodollar futures
An introduciton to commodity futures
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Currency Contracts
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Listings for various currency futures contracts from the Wall Street Journal
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Transaction
Borrow x0 ery dollar
at 6% ($)
Convert to yen
@ 0.009 $/U
Invest in yendenominated bill (U)
Total
Cash flows
Year 0
Year 1
$
U
$
U
+0.008822
0.009367
0.008822
+0.9802
0.9802
0.009367
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If F360 6= $1.20/,
/?
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Arbitrage Strategy I
If F0,360 > $1.20/
1
2
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Arbitrage Strategy II
If F0,360 < $1.20/
1
2
Carry trade
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Listing for interest rate futures contracts, including the 1-month LIBOR
and 3-month Eurodollar contracts, from WSJ
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1+r
(F0,T /S)1/T
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