Description Usage Details Value Author(s) References See Also

View source: R/forwardcurrency.R

Function to calculate the forward value of a currency.

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The user inputs are as follows:

Spot: entered in decimals. For e.g. 105.50

Risk free Rate: entered in decimals. For e.g. 5 per cent is entered as 0.05

Maturity: entered in number of years. For e.g. half year is 0.5

Foreign Interest(s): entered with comma separation if it is in cash and occuring at multiple times e.g. 2.50, 3.0. If it is in yield terms, it is entered in decimals. e.g. 0.02 for 2 per cent

Interest time(s):entered with comma separation e.g. 0.25,0.50 for 3 months and 6 months

Type of Income: chosen between yield/cash

The forward value of a currency.

S Subramanian <ssubramanian@sssihl.edu.in>

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

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