Currency Forward Rates
1 Tick = 1 Basis point (Increment/decrement will be in this multiple), Interest rates changes by 1 tick.
For a contract period of 3 months,
| Principle / Contract Amount | 1,000,000 |
| Rate (1 basis point); Interest Rate goes up by 1 basis point | 0.01% |
| Time (3 months in year) | 1/4 |
| Net payout (Principle * Rate * Time) | 25 |
Euro-Dollar ($ trading market outside US)
http://www.cmegroup.com/trading/interest-rates/stir/eurodollar.html
For 1 month forward interest rate, take Rate of January, 2011 (w.r.t December, 2010)
| Last Price (Go to CME Group » Interest Rates » Eurodollar) | 99.675 | % |
| Euro-Dollar Interest Rate (I borrow from Euro Dollar) = 100 - Last price | 0.325 | % |
| Libor Rate (1 month Forward) (means I lend to Libor) | 0.5 | % |
| Gain = Euro Dollar Interest Rate - Libor Rate | 0.175 | % |
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