ZAR portfolio

#1
Alexander,

I still do not get the lot sizes. Can you please tell me in the example below what we should do.

Short Long rate
EUR EURJPY -0.39 -3.4 130.0600
ZAR ZARJPY -1.42 0.8 7.5500
EUR EURZAR 13.84 -25.28 17.2400

EURJPY L ZARJPY S EURZAR S
SWAP -3.4 -1.42 13.84
LOTS ? ? ?


Thanks

Re: ZAR portfolio

#2
Olivier wrote:
Thu Apr 08, 2021 10:40 am
Alexander,

I still do not get the lot sizes. Can you please tell me in the example below what we should do.

Short Long rate
EUR EURJPY -0.39 -3.4 130.0600
ZAR ZARJPY -1.42 0.8 7.5500
EUR EURZAR 13.84 -25.28 17.2400

EURJPY L ZARJPY S EURZAR S
SWAP -3.4 -1.42 13.84
LOTS ? ? ?


Thanks
Here is an example:

EURZAR long ... you buy 1 lot (100 000 Euro) and sell ZAR
ZARJPY long ... you buy the equivalent to 100 000 Euro in ZAR and sell JPY. The lot size depends from the contract specifications.
EURZAR short ... you sell 1 lot (100 000 Euro) and buy ZAR
cron