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FX Forward

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FX Forward

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This file replicates cross-currency forward pricing using covered interest parity (CIP)

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Description

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.

Required Products MATLAB
MATLAB release MATLAB 7.14 (R2012a)
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14 Nov 2012 Bob Levy  

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