L learner88 Sep 3, 2018 #1 For example AUDUSD 6A forex futures contract. Besides interest rates of AUD and USD, are there other variables that affect fair value? What is the formula for computing fair value of forex futures?
For example AUDUSD 6A forex futures contract. Besides interest rates of AUD and USD, are there other variables that affect fair value? What is the formula for computing fair value of forex futures?
S SunTrader Sep 4, 2018 #2 Take a look here: https://quant.stackexchange.com/questions/17423/futures-fair-value-with-spot-in-different-currency
Take a look here: https://quant.stackexchange.com/questions/17423/futures-fair-value-with-spot-in-different-currency
S Sig Sep 4, 2018 #3 SunTrader said: Take a look here: https://quant.stackexchange.com/questions/17423/futures-fair-value-with-spot-in-different-currency More... Or to simplify the formulas, forex futures are purely mechanically linked to the spot price by current interest rate of the same duration and time.
SunTrader said: Take a look here: https://quant.stackexchange.com/questions/17423/futures-fair-value-with-spot-in-different-currency More... Or to simplify the formulas, forex futures are purely mechanically linked to the spot price by current interest rate of the same duration and time.
