| futurescurrency {GUIDE} | R Documentation |
Calculate the value of a currency futures.
Description
Function to calculate the value of a currency futures.
Usage
futurescurrency()
Details
The user inputs are as follows:
Spot: entered in decimals. For e.g. 105.50
Risk free Rate: entered in decimals. For e.g. 5 per cent is entered as 0.05
Maturity: entered in number of years. For e.g. half year is 0.5
Foreign Interest(s): entered with comma separation if it is in cash and occuring at multiple times e.g. 2.50, 3.0. If it is in yield terms, it is entered in decimals. e.g. 0.02 for 2 per cent
Interest time(s):entered with comma separation e.g. 0.25,0.50 for 3 months and 6 months
Type of Income: chosen between yield/cash
Value
The value of a currency futures.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.