You should compute position at PV
With Discount Factors from the market rates
Which you interpolate, (log-linearly),
To give the values for your broken dates.
Then sum the cash flows for each given date,
This sum times Discount Factor will provide,
A set of values, summed again to calculate
A total to which, now, may be applied
A reval FX rate. This will return
the Dollar value of your currency.
Add this to your true Dollar and you'll learn
Your P&L (again shown at PV).
The outcome of this simple set of sums
Will form the base from which your bonus comes.
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