forwardmark - 0.05 1 0.13 Next Month $/mark rate #ADDIN? IR...

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September 5 1997 Current US Rate 0.06 Current German rate 0.03 $/marks current rate 0.55 Current Futures Price 0.57 Duration of contract(years) 1 Corr Matrix Ger rates US Rates IR Parity error Next month US rate #ADDIN? Ger rates 1 0.05 0.14 Next month German Rate #ADDIN? US Rates
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Unformatted text preview: 0.05 1 0.13 Next Month $/mark rate #ADDIN? IR Parity error 0.14 0.13 1 Next Month futures Price #ADDIN? Duration of contract 0.92 Note 5%ile of .538 is around 5% below mean of .566 so VAR is about 5% of mean value....
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This note was uploaded on 03/17/2010 for the course ACCT acct 4360 taught by Professor Robert during the Spring '10 term at DeVry Colorado Springs.

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forwardmark - 0.05 1 0.13 Next Month $/mark rate #ADDIN? IR...

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