forward premium/discount = (forward rate - spot rate)/(spot rate)*(360/term in days)
or
forward premium/discount = (forward rate - spot rate)/(spot rate)*(12/# of months)*100%
forward rate, spot rate: FC/DC
forward premium/discount > 0: premium (DC appreciates against FC.)
forward premium/discount < 0: discount (DC depreciates against FC.)
Friday, May 28, 2010
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