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pourierj
Hello,
I am looking for a function that can give me the rate for a certain
variable:
For example I have the following:
FXUSD maturing in 39 days
FXAUD maturing in 25 days
FXGBP maturing in 14 days
Based on this they need to be priced based on the remaining days to
maturity.
There is a matrix where the information is located.
7 14 21 28 30 35 42
AUD 1.2 1.3 1.4 1.5 1.6 1.7 1.8
USD 1.4 1.5 1.6 1.7 1.8 1.9 2.0
GBP 2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9
example: For the FXUSD I need to have the information in the last
column. As the maturity date is closer it will need to look up the
information in the corresponmdig column.
Which combination of functions is more suitable?
Any idea is welcome.
Jacinto
I am looking for a function that can give me the rate for a certain
variable:
For example I have the following:
FXUSD maturing in 39 days
FXAUD maturing in 25 days
FXGBP maturing in 14 days
Based on this they need to be priced based on the remaining days to
maturity.
There is a matrix where the information is located.
7 14 21 28 30 35 42
AUD 1.2 1.3 1.4 1.5 1.6 1.7 1.8
USD 1.4 1.5 1.6 1.7 1.8 1.9 2.0
GBP 2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9
example: For the FXUSD I need to have the information in the last
column. As the maturity date is closer it will need to look up the
information in the corresponmdig column.
Which combination of functions is more suitable?
Any idea is welcome.
Jacinto