Hi Guys
I am absolutely baffled as to the solution of finding the MTM of a forward contract in Schweser, vs how it is displayed in CFAI.
The Schweser formula just does not work on the CFAI text questions and I can’t understand why - I find the bid/offer rates correctly and derive every other component fine but just don’t get the right answer!
Schweser Formula - (FPT-FP) x Contract size/1+r(price currency)xdays/360
Can somebody please apply this to the following question?
You originally sell NZD 10MM at 0.79 USD/NZD. Now you want to mark this position to market.
Spot rate (USD/NZD) 0.7825/0.7830
The month points -12.1/-10.0
What is the mark to market?
I would really appreciate any help!!
Regards,
P