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FX Forward

version 1.0.0.0 (224 KB) by

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

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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.

Comments and Ratings (1)

Bob Levy

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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