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Hull 18.12 |
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Forward contract to buy 1 MM pound |
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sterling for $1.5 MM US dollar |
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Term to maturity |
0.5 |
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Spot FX rate |
$1.53 |
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Volatility, Sterling bond |
0.06% |
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Volatility, Dollar bond |
0.05% |
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Interest rate, Sterling |
5.00% |
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Interest rate, Dollar |
5.00% |
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Correlation |
0.80 |
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Maps to: |
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Long Sterling Bond |
1.49 |
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Short Dollar Bond |
-1.46 |
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One day Variance |
0.0000002888 |
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One day Std Deviation |
$0.0005374 |
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10-day 99% VaR (MM) |
$0.0039535 |
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10-day 99% VaR |
$3,953.53 |
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