Strategy #0000000126 · FX and cross-currency funding
Covered-interest-parity deviations
Enter spot/forward rates, both interest rates, tenor, notional, transaction and funding costs.
Covered interest parity links spot and forward exchange rates to two interest rates. Brief deviations may reflect quotes and frictions; persistent post-crisis cross-currency bases also reflect bank balance sheets, funding and regulation, so theoretical arbitrage may not be executable. This page computes a theoretical forward and compares an entered quote with costs.
Omits bilateral funding rates, collateral, credit lines, cross-currency basis swaps and market depth.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
After a forward-rate parity deviation, how much remains after transaction and funding costs?
Covered interest parity links spot and forward exchange rates to two interest rates. Brief deviations may reflect quotes and frictions; persistent post-crisis cross-currency bases also reflect bank balance sheets, funding and regulation, so theoretical arbitrage may not be executable. This page computes a theoretical forward and compares an entered quote with costs.
Enter spot/forward rates, both interest rates, tenor, notional, transaction and funding costs.
Omits bilateral funding rates, collateral, credit lines, cross-currency basis swaps and market depth.
- Input assumptionsEnter spot/forward rates, both interest rates, tenor, notional, transaction and funding costs.
- Model outputOmits bilateral funding rates, collateral, credit lines, cross-currency basis swaps and market depth.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
F^*=S\frac{1+r_dT}{1+r_fT},\quad Basis=\frac{F-F^*}{S}
Rates are annualised and T in years; basis can be positive or negative, while output shows deviation magnitude.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
F^*=S\frac{1+r_dT}{1+r_fT},\quad Basis=\frac{F-F^*}{S}
Practical context · published observations
Covered-interest-parity deviations: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
Omits bilateral funding rates, collateral, credit lines, cross-currency basis swaps and market depth. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, contract terms and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Covered interest parity links spot and forward exchange rates to two interest rates. Brief deviations may reflect quotes and frictions; persistent post-crisis cross-currency bases also reflect bank balance sheets, funding and regulation, so theoretical arbitrage may not be executable. This page computes a theoretical forward and compares an entered quote with costs. | Omits bilateral funding rates, collateral, credit lines, cross-currency basis swaps and market depth. |
| Conservative version | Higher cost/loss | Stress higher costs, larger losses or lower liquidity. | May lower scenario returns. |
| Validation version | Data review | Test model inputs with consistent contracts and timestamps. | Needs licensed, representative data. |
Omits bilateral funding rates, collateral, credit lines, cross-currency basis swaps and market depth.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.