I learnt that once a currency forward contract established, its value at time t is given by, [$]V(t) = \dfrac{S(t)}{(1+R_{fc})^{T-t}} - \dfrac{FP}{(1+R_{dc})^{T-t}}[$]where: [$]S(t)[$] = FX spot rate at time t (expressed as per 1 foreign currency);[$]R_{fc}[$] = annual interest rate of foreign currency at t=0[$]R_{dc}[$] = annual interest rate of domestic currency at t=0[$]FP[$] = Forward price determined at t=0[$]T[$] = Maturity of forward contractIn practice, does the valuation of currency forward at time t is INDEPENDENT on interest spot rate at time t (both foreign/local ccy) ???What if interest rate of foreign currency suddenly rise at time t???Or the formula I got above is incorrect???Thanks.

Push...Anyone knows about it???

since you can replicate a forward contract on a foreign exchange rate with spot transaction and a borrowing and lending in the domestic and foreign currency then I don't see the problem of dependence

Your formula looks incorrect to me. Valuation of a currency forward should depend on the interest rates.

So after a forward contract was established, subsequent shift in yield curves of both currency have no impact to its value at time t??? That means it has no interest rate risk???Was the formula reli incorrect??? Any idea on where to get the correct one???Thanks.

QuoteOriginally posted by: yktsuiSo after a forward contract was established, subsequent shift in yield curves of both currency have no impact to its value at time t??? That means it has no interest rate risk???Was the formula reli incorrect??? Any idea on where to get the correct one???Thanks.I am not sure about your formula but the forward exchange rate at time t is given by[$] F = S e^{(r_d-r_f)(T-t)}[$] where S is the spot rate, [$]r_d[$] is the domestic interest rate and [$]r_f[$] is the foreign interest rate. the present value of a contract to buy a foreign currency at a price K is given by[$] V = e^{-r_d(T-t)}(F-K)[$] where F is given by the previous equation. So you can see that time 0, if K is chosen to be the same as F then the value of the contract is 0.

What is the currency forward domestic rho? if I start with a value function from above [$]V = e^{-r_d(T-t)}(F-K)[$] and work it out[$]V = e^{-r_d(T-t)}(F-K) = e^{-r_d(T-t)} (S e^{(r_d-r_f)(T-t)}-K) = S e^{-r_f(T-t)}-K e^{-r_d(T-t)}[$].Then, the derivative with respect to [$]r_d[$] is[$]K (T-t) e^{-r_d(T-t)}[$]Is this the domestic rho for the a currency forward contract??

Is there perhaps a reference to the Currency (FX) forward Greeks?

I withdraw the question. I finally found the answer in David F. DeRosa Options on Foreign Exchange, which confirms that my derivations of the FX forward Greeks are correct.Thanks all anyway and sorry for posting this question in a few forums.