Historical carry interest

Discussion in 'Forex' started by heybuddy, Nov 17, 2005.

  1. heybuddy


    Does anyone know where to find historical charts of the daily carry forward interest? I'm mostly interested in the GBP/CHF pair.

  2. I'm sure that it must exist but an easier way would be to calculate it yourself.

    1st get the GBP rates at: http://www.bankofengland.co.uk/statistics/rates/baserate.pdf
    Then get the CHF rates from somewhere. Most likely their central banks page.

    Open and excel sheet and calculate the differential: Yearly Interest Rate Differential / 360 = daily percent. Then multiply that by the amount of lots you have and units per lot. Then chart it.

    For example:

    USD: 4%
    JPY: 0%
    One, 100K lot

    so (.04/360) * 1 lot * 100,000 = 11.11 should be the approximate rollover for today for one lot of USD/JPY. Set it up once on the sheet and its trivial to calculate for all cells.

    Its never going to be exact because the rates are targets and tradable on their own but its close enough..

  3. As pointed out, those rates are targets only and each broker will be different. And that's a lot of legwork, prone to error.

    Here's a faster / better solution:

    Go to http://fxtrade.oanda.com/fxtrade/interest_calculation.shtml#

    In the 2nd paragraph, click on the hyperlink "FXTrade's Interest Rate Form".

    A new browser tab / window will open. Choose your currency (-ies) from the 20 offered. In your case, select both GBP and CHF, by holding down the CTRL key. Enter your date range, going back to early 2001 for the major currencies, later for others.

    Now click on "submit". Save the results as a "text file", rather than HTML. Voila! Now you can easily read that into Excel or another app. It'll only have entries on those dates when the rate changed, up to a few dozen times at most. Clean up those extra 0 entries at the beginning, if any.

    Bid = borrowing rate = credit when you are long a currency.

    Ask = lending rate = debit when you are short a currency.

    You'll find some very detailed calculation examples there. Most other dealers compute interest debit / credit once a day, rather than on a second-by-second basis, and, of course, may have slightly different rates, but the basic concepts and math remain exactly the same. Enjoy.