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- 2014-8-7
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Foreign Currency Forward formula bust schweser?
The notes say that pricing a foreign currency forward contract is simply “applying the covered int arbitrage formula from economics” They go on to provide an example:
S0 x [(1+RF DC)/(1+RF FC)]
where S0 is spot @ time zero quoted in DOMESTIC CURRENCY PER UNIT OF FOREIGN currency.
I am like 99% sure that in economics if you are given spot in DC/FC, then you multiply the INVERSE (fc/dc), what the FUCK is with these inconsistencies, this stuff is killing me. |
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发表于 2013-4-4 15:28
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