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标题: credit risk in a foreign exchange forward contract [打印本页]

作者: Bluetick1010    时间: 2013-10-8 09:03     标题: credit risk in a foreign exchange forward contract

credit risk in a foreign exchange forward contract:notes book4 p92中,value to the long的数值计算很容易,也很好理解,但是这个long side到底是long的分母货币还是分子货币?怎么搞清楚?谢谢老师
作者: 童老师    时间: 2013-10-8 09:20

通过currency forward公式算出来的value是分母(直接标价法下面,分母就是外币)的,然后可以换算成分子货币(本币)。




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