QUESTION ABOUT SWAP INTEREST RATES WITH EXAMPLE

Back to topics list To post a new topic, please log in or register
avatar
1
adoabo 2016.01.13 00:05
 

So, I have been using the formula below to calculate swap rate:

Swap = Lots*Open Price*Symbol swap rate (long or short)*1/(360*100)*contract size*quote currency to usd rate

Below are my calculations for several symbols:

Time  Type  Symbol  Lots     Price      Price  long rate   short   rate  contract size    day rate     swap in Quote    to usd rate     swap in usd     MT 4 Swap     Ratio of MT4 Swap to Swap in usd
2016.01.11 14:03:24  buy  eu50  1  3064.7  3080  -2.782  -3.218  0.1    -7.72778E-05     -0.023742438    1.0919     -0.03     -0.03     1.157212
2016.01.11 07:27:42  buy  fr40  1  4324  4401  -2.782  -3.218  0.1    -7.72778E-05     -0.033712431    1.0919     -0.04     -0.04     1.086643
2016.01.11 16:05:31  sell  uk100  2  5877  5949  -3.512  -2.488  0.1    -6.91111E-05     -0.0817308    1.4527     -0.12     -0.08     0.673796
2016.01.11 09:57:14  sell  us30  10  16393  16455  -3.424  -2.576  0.1    -7.15556E-05     -1.175228444    1     -1.18     -1.17     0.995551

 

From the calculation shown above, we can see that the formula works for fr40 and us30, however it does not work on eu50 and uk100.

Any suggestions on how to calculate the swap rate?  

Back to topics list  

To add comments, please log in or register