Page 202 - AFM Integrated Workbook STUDENT S18-J19
P. 202
Chapter 10
6.6 Exam shortcut – the ‘lock-in’ rate
The calculation of the likely financial result of the futures hedge was a
lengthy calculation, and it also relied upon being able to estimate the
spot rate on the transaction date.
There is a much simpler way of estimating the likely financial result of
the futures hedge, by just calculating the overall 'lock-in rate' for the
hedge.
Lock-in rate = Opening futures price + unexpired basis on the
transaction date
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