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yuwi.lee

  • one year ago

Hi urgent help please! I have a Pivot Bonus Leveraged Forward. I need to compute the mark to market value: Party A : Bank Party B: XYZ Trade date: 04 Feb 2012 Expiry date: 10 Feb 2014 Currency Pair: USD/CNY(chinese yuan) Settlement: Deliverable Premium: Zero Notional Amount: USD2million Leveraged notional amount: USD4million Cash Return: CNY100k Pivot rate: 6.56 (CNY/USD) Strike/forward rate: 6.4300 (CNY/USD) Spot rate: 6.2303 (CNY/USD)

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