FIN 414 future.xlsx

FIN 414 future.xlsx - return of Jap market 7-7 delta(ls t...

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return of Jap market 7% -7% delta(ls t, DC/FC) 200 currency effect spot t=1 -7% lfp t-1, DC/FC 200 forward premium t = 1 spot t=1 0% Will be 0 under UH Expected excess return of Yen = LN(spot 2) - LN(forward) = currency effect - interst$ + interestY
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