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forward exchange rate
Posted: February 27th, 2006, 9:49 pm
by ada
Hi there,Are there any market conventions on forecasting forward exchange rates? On Bloomberg FRD, only forward exchange rates within 5 years are available, and i have to forecast FX rates for 6 years to 10 years. Already google, but seems little info there. Any hints or thoughts are welcomed here! Thanks!
forward exchange rate
Posted: February 28th, 2006, 3:28 am
by Icecloud
You can do bootstrapping of longer dated IRS of the ccy of interest and extrapolate the swap pts from there, then add the pts to the current fx spot rates to get the implied fwds... In general though for longer dated fwds, one looks at cross ccy swaps instead of an outrite forward.
forward exchange rate
Posted: February 28th, 2006, 12:42 pm
by cosmologist
is bootstrapping a respectable way to interpolate/ what is the best practice?
forward exchange rate
Posted: March 2nd, 2006, 11:03 pm
by johnself11
not to shrug off your question, but there are a ton of threads on this site which address the issue of yield curve interpotion, if you do a forum search i'm sure you'll get all the info you want