Hello,
Could you advise me how to calculate 5 months forward rate when it is given
$/£
Spot rate 1.9156- 1.9210
3 month forward rate 1.9066 – 1.9120
1 year forward rate 1.8901 – 1.8945
Thank you in advance.
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Calculation of 5 months forward rate
12y ago#1You take the 3 month forward rate and add/subtract 2/9 of the difference between the 3 month and 12 month forward rates (to adjust for another 2 months)
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