Does currency futures settled with two-way delivery of agreed upon amounts, or it is settled via difference of FX0 and FXt?
Futures dont have exchange of notionals, just PnL
Well, then here in Reading 32 (Risk management of forwards and futures strategies) both the study material and EOC questions state that currency 1 will be delivered and currency 2 will be purchased… something like this.
For example, BB 8 solution B says: “At expiration, it will not matter what the spot exchange rate is. Royal Tech will deliver £900,000 and receive $1,500,000”. This actually hints me that notional amounts are actually exchanged, but could not eliminate the possibility that “winning” side will receive the converted difference in one of the currencies.
So, we don’t have any clarity here…