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fxforward

于 2012-09-07 发布 文件大小:224KB
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  This file replicates cross-currency forward pricing using covered interest parity (CIP). It generates and plots CIP-implied forward exchange rates and calculates forward contract value. There are five inputs - domestic interest rate curve, foreign interest rate curve, spot exchange rate, maturity date, and strike price.(This file replicates cross-currency forward pricing using covered interest parity (CIP). It generates and plots CIP-implied forward exchange rates and calculates forward contract value. There are five inputs- domestic interest rate curve, foreign interest rate curve, spot exchange rate, maturity date, and strike price.)

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