I'm a software developer currently working for an asset manager in their Risk department.

I'm looking at Currency Futures and have a question I was hoping someone could put me right on.

If I have a fund whose base currency is GBP and it holds 1 long position in the EUR/USD currency future (say Dec15).

Having a GBP base currency, can I (should I?) represent the fund's exposure as 2 legs:

  1. a long EUR exposure; and
  2. a short USD exposure?

If so, I'd expect the EUR exposure value to be EUR125,000 but what would the USD exposure value be? And how do I ensure the net of the two equates to the market value of the position?

  • 1
    $\begingroup$ EUR futures are priced at 1.16870, so I think it is correct to say you are long 125,000 EUR and short 125,000*1.16870 = 146,087 USD. The latter number will change as the price of the contract changes $\endgroup$ – noob2 Nov 13 '17 at 13:33
  • $\begingroup$ Change the word "exposure" for "position" and mark the positions to market. $\endgroup$ – rupweb Nov 14 '17 at 4:14

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