Assuming I wanted to put on a JPY/AUD carry trade, but was concerned about adverse currency moves, couldn't I just buy the appropriate cross-rate futures contract at CME to hedge myself and just keep the interest? Or would the cross-rate futures contract already take the carry trade interest into account in it's pricing?
For the sake of accuracy, what you want to trade is AUD/JPY. I don't think you're going to find too many places where you can trade JPY/AUD. The former is the market convention.
Hi makloda Can you explain a little bit further how are interests include in pricing of futures contracts refer to above subject ? Thanks & happy trading