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Hello,
I am looking for a function that can give me the rate for a certain variable: For example I have the following: FXUSD maturing in 39 days FXAUD maturing in 25 days FXGBP maturing in 14 days Based on this they need to be priced based on the remaining days to maturity. There is a matrix where the information is located. 7 14 21 28 30 35 42 AUD 1.2 1.3 1.4 1.5 1.6 1.7 1.8 USD 1.4 1.5 1.6 1.7 1.8 1.9 2.0 GBP 2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9 example: For the FXUSD I need to have the information in the last column. As the maturity date is closer it will need to look up the information in the corresponmdig column. Which combination of functions is more suitable? Any idea is welcome. Jacinto |
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