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hull.18.12 by btzoho  170 views
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Hull 18.12
Forward contract to buy 1 MM pound
sterling for $1.5 MM US dollar
Term to maturity0.5
Spot FX rate$1.53
Volatility, Sterling bond0.06%
Volatility, Dollar bond0.05%
Interest rate, Sterling5.00%
Interest rate, Dollar5.00%
Correlation0.80
Maps to:
Long Sterling Bond1.49
Short Dollar Bond-1.46
One day Variance 0.0000002888
One day Std Deviation$0.0005374
10-day 99% VaR (MM)$0.0039535
10-day 99% VaR$3,953.53
Hull_18_12
 
     
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