How are the hibor, hsi and hsi futures related, Financial Management

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Q. How are the HIBOR, HSI and HSI futures related?

The HIBOR and HSI are contrariwise related. So futures on HIBOR and HSI are as well inversely related.

1129_How are the HIBOR, HSI and HSI futures related.png

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Display the position explicitly

Example: I borrow 7800000 HKD at time t = t0 at an interest rate rt0.

After one year I pay back 7800000(1 + rto ).

At t0 I exchange these HKD into USD1000000. These I deposit at the risk free rate Rto .

I anticipate that The HKD to depreciate 30% during the same time period.

My expected profit is

1136_How are the HIBOR, HSI and HSI futures related2.png

where the eto is the pegged exchange rate 7.8.


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