FX Forward
Versione 1.0.0.0 (224 KB) da
Vilen Abramov
This file replicates cross-currency forward pricing using covered interest parity (CIP)
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.
Cita come
Vilen Abramov (2024). FX Forward (https://www.mathworks.com/matlabcentral/fileexchange/37818-fx-forward), MATLAB Central File Exchange. Recuperato .
Compatibilità della release di MATLAB
Creato con
R2012a
Compatibile con qualsiasi release
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Windows macOS LinuxCategorie
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Yield Curves >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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Versione | Pubblicato | Note della release | |
---|---|---|---|
1.0.0.0 |