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royalflush
Topic Author
Posts: 64
Joined: August 5th, 2008, 8:11 am

FX Forwads

March 3rd, 2017, 5:15 pm

Hi,

someone tells me how I can derive the pv of an fx forward by comparing the following 2 strategies:
a) go long the fx forward to buy usd at time T in the future at no cost
b) buy a zero usd with same ttm as the forward + borrow the forward price in euro at cost for the usd zero and borrow for the forward.

Are those strategies realy the same? I don't get as I think that strategie b is only an interest rate trade where strategie a gives me full exposure to eurusd delta..

Please help

Many thanks
 
User avatar
acastaldo
Posts: 1416
Joined: October 11th, 2002, 11:24 pm

Re: FX Forwads

March 11th, 2017, 11:32 pm

It is the _difference_ between the spot and the forward which is replicated by strategy b.
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