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!
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