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- UID
- 223463
- 帖子
- 346
- 主题
- 15
- 注册时间
- 2011-7-11
- 最后登录
- 2013-8-23
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it is the borrowing and lending that is causing this...
you borrow S0 amount, invest in the Spot Rate to get X units of foreign currency.
That is invested forward at the rfc rate (foreign rate).
to arrive at the forward point.
Convert at the forward rate
compare this to Spot amount invested forward at the domestic rate.
CP |
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发表于 2011-7-11 19:30
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