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Created July 2, 2014 07:18
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FX Forwards
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FXForwards.md

FX Forwards

The standard no-arbitrage price $F_{t,T}$ for currency forwards when the spot price is $S_t$, the domestic rate is $r_d$ and the foreign rate is $r_f$ is

$$F_{t,T} = S_t (1 + (r_d-r_f)(T-t) )$$

and the price time $\delta t$ later is

$$F_{t+\delta t, T}$$

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