Hedging Taiwan dollar risk
Background: A US-based corporate is looking to hedge Taiwan dollar receipts of about $1 million per month for the next year. It has an internal requirement to fully hedge these receipts for the next 12 months and pay no upfront premium. The most straightforward solution would be to enter into a strip of forward outright deals to buy $1 million and sell the Taiwan dollar for each date. Rather than agreeing 12 different rates for each month, it is possible to solve for a common forward rate for
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