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How to calculate 5 months Forward rate

This topic has 1 reply, 2 voices, and was last updated 11 years ago by John Moffat.

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October 9, 2013 at 2:41 am #142323
julpazol
Member
- Topics: 2
- Replies: 0
Hello,
If anyone knows 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.
October 9, 2013 at 4:56 am #142326
John Moffat
Keymaster
- Topics: 57
- Replies: 54480
You 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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