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Methodologies / fx-forward-cip

Covered Interest Parity Forward

Theoretical outright forward from spot and simple interest rates with pair day-count conventions.

v1.0fx-forward-cip

Formula

F = S × (1 + r_quote×τ_q) / (1 + r_base×τ_b)

Assumptions

  • S and F are quote per 1 base.
  • Rates are simple period rates.
  • τ from ACT/360 or ACT/365 calendar days.

Limitations

  • No holiday calendar or modified following in Phase 1.
  • Ignores basis, credit, and liquidity premia.

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