fx_interest-rate-parity
Compute covered or uncovered interest rate parity for FX pairs. Detect arbitrage by comparing implied forward rate with actual forward rate.
Instructions
Interest rate parity calculator with arbitrage detection.
Use when computing covered/uncovered interest rate parity for FX pairs. Provide domestic rate, foreign rate, and spot rate. Returns: theoretical forward rate, parity-implied rate, and arbitrage opportunity if any.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| spot_rate | Yes | Current spot exchange rate | |
| time_years | No | Time horizon in years | |
| parity_type | No | Parity type: covered or uncovered | covered |
| foreign_rate | Yes | Foreign interest rate (annualized) | |
| domestic_rate | Yes | Domestic interest rate (annualized) | |
| actual_forward | No | Actual forward rate for arbitrage detection |