FX Carry Trade and how to calculate it

I am trying to calculate the FX carry on let’s say USDILS for a task. I was given the 3M Forward Implied Yield (ILSI3M CMPN Curncy on Bloomberg) and I need to use this in order to calculate my FX carry on this pair. I have looked up the WCRS function on Bloomberg to see how they calculate it, however it does not feel right. What troubles me is that I don’t know if I just take this rate, keep the trade for 3m and then roll it and keep it for another 3m and calculate the FX spot difference. Or if I have to roll the 3M Forward implied yield everyday during my time horizon (if so how do I calculate that?) of investment and at the end look at the FX spot difference as well. Or Am I completely wrong ?

Thank you very much for your help. Have a great day!

Quantitative Finance Asked by ZGZ on September 12, 2020

0 Answers

Add your own answers!

Related Questions

simulate volatility surface

1  Asked on November 27, 2020 by therealcode


Market Impact proportional to the bid-ask spread

1  Asked on November 12, 2020 by mbz0


Is there a good backtesting package in R?

3  Asked on October 17, 2020 by alonch7


How to deal with missing stock returns?

1  Asked on October 14, 2020 by johncena12345678


FX Carry Trade and how to calculate it

0  Asked on September 12, 2020 by zgz


Ask a Question

Get help from others!

© 2021 All rights reserved.