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标题: currency forward, less than a year [打印本页]

作者: parott    时间: 2011-7-11 19:51     标题: currency forward, less than a year

If we are given annual interest rates for a six month currency forward, do we effect the rate by multiplying by .5, or do we raise it ^5? I guess that if the rate is given as compounded we us ^.5, but can we make that assumption either way?

I guess same question would apply to multi year forward, is the convention to multiply by the fraction or take the exponent?

thx
作者: tianxin    时间: 2011-7-11 19:51

can you provide an example? I think the basic answer is that it's compounded to ^ such that r and T both have the same frequency (so if you have a semi-annual pay rate over one year you use r/2 and T*2)




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