Formula kvazi-terminskog deviznog kursa sa i bez troškova arbitraže
Currency Quasi-Forward Formulae With Costless And Costly Arbitrage

Summary/Abstract: In this paper, we present simple formulae for evaluation of currency quasi-forward agreement. This type of forward agreement is frequently used amongst leading Serbian banks and their counterparties. It serves as a tool for hedging clients’ exchange rate risk. Moreover, it could potentially contribute to bank profitability, especially if the rates are quoted at the very boundaries of the arbitrage band. Unfortunately, there is no publicly available database for quoted or arranged forward rates. However, if the database becomes available, for researchers a next step further is to test how much if any the actual forward rates are transacted on the line of theoretical foundation presented here.

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