标题: Econ IRP vs. Derivatives IRP [打印本页] 作者: btcapital 时间: 2013-3-31 13:02 标题: Econ IRP vs. Derivatives IRP
Could someone confirm if my belief is true:
So it appears that the IRP formula in econ is designated as: F/S=(1+Rfc)/(1+Rdc)…but I believe we are given the F or S rate as an indirect quote - DC:FC.
In the Derivatives section on forwards the IRP formula is: F/S=(1+Rdc)/(1+Rfc)…but I believe we are given the F or S rate as a direct quote FCC.
Is this correct?
If we get an IRP problem in econ are we to assume (if not told which currency is DC) that the currency quoted as a:b, the “a” currency would be the domestic currency.
And if we get an IRP problem in derivatives are we just to assume that the quote is a direct quote since this seems to be the standard way to quote?作者: SkipE99 时间: 2013-3-31 13:02
Your formulae seem correct.
‘b’ would be the domestic currency, I think
I don’t think we should assume - the question should be clear, stating where the investor is from(domestic) where where is the investment done(local).作者: joehogue 时间: 2013-3-31 13:02
Are you sure about that? I thought “a” was the domestic currency under the quote a:b in the Econ reading…And i’m pretty sure I’ve seen problems where there is no mention of a person and what country they’re from. You have to base it off of the quote, which is why i want to make sure what I stated above is correct…作者: d2rockstar 时间: 2013-3-31 13:02
I might be missing something, but I usually convert whatever the question gives into the format I’m most comfortable with. So I set it up as Currency A over Currency B, then use Currency B’s interest rate in the numerator and Currency A’s in the denominator. Then you get the answer in terms of Currency A/Currency B, and can reformat that to answer the question.作者: pennyless 时间: 2013-3-31 13:02
i agree with cornbread. post a question that doesnt show which is the domestic currency…作者: Palantir 时间: 2013-3-31 13:02
If the DC is on top, you put the DC rate on top. The only exception is when calculating “real” numbers.
C.