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READING 49 : FOREIGN EXCHANGE RISK #57

Open Grefer opened 4 years ago

Grefer commented 4 years ago

https://www.melonsblog.cn/2020/01/reading-49-foreign-exchange-risk.html#more

Grefer commented 4 years ago

(1 + r) = (1 + real r)[1 + E(i)] when E(i)*real r close to zero, we can use r = real r + E(i)

Grefer commented 4 years ago

Forward rate=spot rate*[(1+rDC)/(1+rFC)]^T