FX Forward
Version 1.0.0.0 (224 KB) by
Vilen Abramov
This file replicates cross-currency forward pricing using covered interest parity (CIP)
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.
Cite As
Vilen Abramov (2024). FX Forward (https://www.mathworks.com/matlabcentral/fileexchange/37818-fx-forward), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2012a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Yield Curves >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
Find more on Yield Curves in Help Center and MATLAB Answers
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
fxforward/html/
Version | Published | Release Notes | |
---|---|---|---|
1.0.0.0 |