Simple foreign exchange forward simulation, which assumes that the exchange rate follows a simple log-normal process with constant volatility. Uses the formula F(T) = F0*e^-(s*X*T+1/2*s^2*T), where
- F0 is the expected forward rate,
- s is the market volatility,
- T is the time until maturity, and
- X is a normal random variable with zero mean and variance 1.
This was a programming exercise during the interview process for my current job. I took the point of the test to be to assess my coding style, testing approach, and general form.