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I'm trying to find the FX Forward Points for 3M, the same as in the table. However, in the conventional way (Forward points = Spot x (USD Rate - EUR Rate) x 90/360) I get a different result.

Can anyone help me with this?

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That conventional way of pricing forwards doesn't work since the great financial crisis, there is something called the cross currency basis. Basically market participants cannot borrow or lend unlimited amounts at the 3m interest rates.

It's realtively well explained on Wikipedia https://en.wikipedia.org/wiki/Currency_swap

It is well recognized[4][5] that traditional "textbook" theory does not price cross currency (basis) swaps correctly, because it assumes the funding cost in each currency to be equal to its floating rate, thus always giving a zero cross currency spread. This is clearly contrary to what is observed in the market. In reality, market participants have different levels of access to funds in different currencies and therefore their funding costs are not always equal to LIBOR.

An approach to work around this is to select one currency as the funding currency (e.g. USD), and select one curve in this currency as the discount curve (e.g. USD interest rate swap curve against 3M LIBOR). Cashflows in the funding currency are discounted on this curve. Cashflows in any other currency are first swapped into the funding currency via a cross currency swap and then discounted.[5] See Interest rate swap § Valuation and pricing for further discussion, as well as a description of the related curve build.

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    $\begingroup$ All the items in this Table are inputs to a calculation. The FX forward points of 0.009713 are what is observed in the forward market, they are not computed from the FX Spot and the two interest rates below. In the modern approach which Lliane described these are 4 independently observed numbers. $\endgroup$ – noob2 Apr 17 at 9:13

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