Hi,
I would appreciate some assistance with disentangling the formula for basis spread from the reading - Covered Interest Rate Parity Lost: Understanding Cross-Currency Basis.
EQN 1: F/S = (1 + r + b) / (1 + r*) --> This is CIP with the inclusion of the basis spread (b)
The reading shows...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.