Forward_FX_LIBOR

Calculates the forward price using LIBOR/MM rates.

Syntax

Forward_FX_LIBOR(SpotPrice,DomesticRate,ForeignRate,Days)

SpotPrice is the cash market price.

DomesticRate is the domestic interest rate.

ForeignRate is the foreign interest rate.

Days is the tenor of the contract expressed in calendar days.

Remarks

If the function returns the name of a variable with a question mark it means the variable in question is not in the appropriate range. The range are as follows: SpotPrice > 0, DomesticRate >= 0, ForeignRate >= 0, and Days > 0.

Examples

Forward_FX_LIBOR(1.85,.073,.112,45) equals approximately 1.8411

Forward_FX_LIBOR(1.85,.073,.112,180) equals approximately 1.8158

Forward_FX_LIBOR(0, 073,.112,45) equals "#SPOT PRICE?"

Related Functions

Function Description

Futures_Price Calculates the futures price.

Futures_Implied_Yield Calculates the implied yield in a futures contract.

Futures_Spot_Price Calculates the spot price in a futures contract.

Forward_FX_C Calculates the forward price using continuous rates.