Good day, Please, consult me about Forex Forward Swap (Ex. pair USD/RUB). I am trying to calculate and cant understand, how it works. For example: I have: USD/RUB Fwd points 3M - 19650/19950 IR - 10.63/10.78 outright price -80.4318/80.4610 How in works and what formulas shell I use. Thank you.

Update. just to clarify. I have: FWD points 6M USDRUB 38485/38985
Interest Rates RUB 6M 10.47/10.58 Outright price USDRUB 82.7630/82.8130.

My question is how it was calculated and where can I receive data about this issue?


closed as unclear what you're asking by Bob Jansen Jan 20 '16 at 6:52

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You wrote:

outright price -80.4318/80.4610

this is the quote in the spot market. With 80.4610 rubles you can buy 1 USD and with 1 USD you can buy 80.4318 rubles

Fwd points 3M - 19650/19950

this is for the forward contract (to receive/pay rubles in 3 months time). These are "points", that have to be added or subtracted from the spot rate to get the actual price of the forward. So if we take 80.4318+1.9650 we get a price of 82.3968. On the other side, if we take 80.4610+1.9950 we get 82.4560. So to summarize the ruble 3 months from now is quoted 82.3968/82.4560

IR - 10.63/10.78

These I think (not 100% sure) are the interest rates that are implied by the forward contract. They are annual interest rates applicable to a 3 month inter-bank deposit. In theory there is a relationship between the spot, the forward and the difference between Russian and US interest rates, according to the Covered Interest Parity theorem.

  • $\begingroup$ Thank you. But how can i calculate this, what formula should i apply ? $\endgroup$ – Under Jan 20 '16 at 8:04
  • $\begingroup$ What is standard formula for calculating FX FWD points on intentional markets ?? $\endgroup$ – Under Jan 20 '16 at 15:57

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