[R-SIG-Finance] FX Forward outrights and FX Swaps

[krishna]

Are you looking to compute the outrights given the pts and spot that  
is straightforward  ?

Perhaps you are looking to impute the pts given a set of other market  
instruments (futures , swaps etc?)

Unfortunately this is non trivial and you are unlikely to find the  
exact recipe( it also is institution specific)

You can however get bbg composite points on FRD <go>  there is also a  
ubs page on reuters that has streaming  points.

hth



On Nov 30, 2010, at 6:26 PM, Werner Erselina <w.erselina at gmail.com>  
wrote:

> Dear R-sig-finance list,
>
> I was wondering if there are any packages for calculating FX
> forward outrights and swaps prices?
>
> Kind regards,
>
> Werner Erselina
>
>    [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R  
> questions should go.