R/fwd_outright.R

In veldanie/SuraStructuredNotes: Sura Asset Management Structured Products

fwd_outright <- function(spot, days, curve_dom, curve_for, base=360){
  outr <- spot*(1+approx_extrap(x=curve_dom[,1], y=curve_dom[,2], xout=days)$y*days/base)/(1+approx_extrap(x=curve_for[,1], y=curve_for[,2], xout=days)$y*days/base)
  return(outr)
}