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标题: FCRP [打印本页]

作者: malbec 时间: 2011-7-13 15:27 标题: FCRP

I always mess up which inflation to subtract from which, is there an intuitive way to think through this?
Tks

作者: Rasec 时间: 2011-7-13 15:27

anybody please?

作者: neil1234 时间: 2011-7-13 15:27

not sure what you are even asking. The formulas I think of for FCRP don't have inflation.

作者: economicz 时间: 2011-7-13 15:27

I meant the interest rate differential my bad

作者: thecfawannabe 时间: 2011-7-13 15:27

i use Domestic - Foreign

(F - S)/S - (iD - iF)

作者: profil 时间: 2011-7-13 15:27

Instead of remembering that formula, you can calculate the price of the forward (you should know this formula). Then the FCRP is (E(S1) - F(0))/ S0 ) or intutively, the expected premium over a risk free return.

作者: giorgio10 时间: 2011-7-13 15:27

agree with manstey. mush easier.

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