5. Currency futures
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Transcript of 5. Currency futures
5. Currency futures
International Financial Services 2
Karel Bruna
Currency futuresUSD/EUR contract specification on CME
Trade Unit 125 000 EUR
Price Quote American quotation
Minimum Price Fluctuation (Tick) 0,0001 USD per Euro = 12,5 USD per trade unit
Contract Month March, June, September, December
Trading Hours 7.20 a.m. - 2.00 p.m.
Delivery Date third Wednesday of the contract month
Currency futuresExample of daily settlement
Day TransactionFutures price(USD/EUR)
Daily change of futures
price(USD/EUR)
Daily profits/losses
(USD)
Level of margin account (USD)
Total profits/losses
(USD)
March 22purchase of one EUR futures
0,8990 - - 2 000 -
March 22daily
settlement0,9088 + 0,0098 + 1 225 3 225 + 1 225
March 23daily
settlement0,9044 -0,0044 - 550 2 675 + 675
March 24daily
settlement0,8811 -0,0233 - 2 912,5
- 237,5(+2 237,5)
- 2 237,5
March 25sale of one
EUR futures0,8795 - 0,0016 - 200 1 800 - 2 437,5
Currency futuresdaily profits/losses calculation
daily settlement = (FPt - FPt-1) . trading units . number of contract
Currency futures price
spot rate
interest rate differential 1 + IRUSD(t/360)
FPUSD/EUR = SRUSD/EUR . ------------------------- 1 + IREUR(t/360)
futures price
time to maturity date
Currency futures quotation