HI, Expert
I would like to value our FX forward transactions in the following way.
Notional amount x (Ask forward -Book value ofthe exchange rate)
Ask Forward = SpotAsk + Forward Ask Point
Forward ask points=SQ/B ASK x ( (iquote ASK- ibase BID) x t) /360
SQ/B ASKdenotes the ASK price in the spot market for the base currency, in terms of the quote currency, expressed in decimal form.
iquote ASKis the annualized borrowing rate of the quote currency’s country expressed as a percentage.
ibase BIDis the annualized lending rate of the base currency’s country expressed as a percentage.
tis the number of days until the forward contract is settled.
Is it possible to perform in SAP Treasury ?
Miroslav