fx_carry-trade
Decompose currency carry trade P&L into carry and spot returns with annualized breakdown. Input interest rates, entry/exit spot rates, and holding period.
Instructions
Currency carry trade P&L decomposition.
Use when analyzing carry trade P&L decomposition. Provide high-yield and low-yield rates, entry spot rate, and exit spot rate. Returns: carry return, spot return, total return, and annualized P&L breakdown.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| leverage | No | Leverage multiplier | |
| notional | No | Notional trade amount | |
| spot_exit | Yes | Spot rate at exit | |
| spot_entry | Yes | Spot rate at entry | |
| holding_period_days | Yes | Holding period in days | |
| borrow_currency_rate | Yes | Interest rate of the funding (borrow) currency | |
| invest_currency_rate | Yes | Interest rate of the investment currency |