Formler 17/2-25

Forward FX rate FX rate*e^((quote-base)*T)

Theoretical forward price (S-PVdiv)*e^r*T

PV div Div/e^r*T

Annually compounded rate to quarterly compounded rate (1+(R/4)^4)=1+annually compounded rate

Theoretical price CHF/USD spot CHF/USD*((1+interestUSD)/(1+interestCHF))

Payoff short forward L*(forward FX-FX@mat)

F from S F=S*e^r*T

S from F S=F/e^r*T

Value of long position (F2-F1)/e^r*T

Continuous r to r with annual compounding 1*((e^r*T)-1)

Payoff on long forward S2-F1

net exchange rate eller effective price med basis (S2-F2)+F1

net exchange rate eller effective price utan basis (F1-F2)+S2

Vad blir net exchange rate eller effective price om det är perfect hedge? F1 för F2=S2 så dom cancel out

no tailing h**#contracts

with tailing h**#contracts*(S/F)

#contracts needed to minimise risk (beta*portfolio value)/#contracts

Semi annual zero rates to rates with continuous compounding Rc=2*ln(1+(r/2))

interest rate differential using forward FX formula F/S=e^((rbase-rquote)*T) --> (ln("(F/S)"))/T=e^(rbase-rquote)

put-call parity c+Ke^-(r*T)=p+S

put-call parity to get price of put if you have call price, strike, div, r p=c+PVK-(S-PVdiv)

Value of long forward (F2-S1)/e^r*T

probability of upmovement for FX rates (e^((rd-rf)*deltat)-d)/(u-d)

premium premium=intrinsic value+time value

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