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- 2011-7-11
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- 2013-10-21
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Currency Forward : Add-on / Compounding ?
Can someone please clarify...if we should use to the power ^ or divide incase of forwards on currencies....
Based on Economic (Schwezer, Page 319) it is add-on :
Example: US Annualized interest rate 9%, Euro Annualzied interest rate 12%. Spot rate $1.30/Euro. Calculate 3month forward rate....
Ans: 1.2875 $/Euro.
Based on Derivatice - Currency forwards( Schwezer, Page 27) it is compunded :
Example: Risk free rate in US 6%, in Mexico 8%. Spot rate $0.0845/mxn. calculate 180day forward contact.
Ans: 0.0837 $/Mxn.
I have not looked at CFAI texts:... |
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发表于 2011-7-13 13:31
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