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Like the title suggests, I'm trying to build a forward curve for exchange rates in USD/em currencies. I have certain forward points already, but they're in spreads and ideally, I'd like to construct this curve without using a spot rate. My initial idea was to use the points that I do have and perform a linear interpolation, which works perfect for anything past one week. Therefore, I'm wondering if there is a way to accurately calculate the forward mid-points from spot (without using the spot rate) to 1w.

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    $\begingroup$ Why do you not want to use a spot rate when the convention is to quote in forward points? $\endgroup$
    – oronimbus
    Jul 28, 2023 at 20:03
  • $\begingroup$ What exactly does the sentence "compute from spot without using spot" mean? $\endgroup$
    – AKdemy
    Jul 28, 2023 at 20:54
  • $\begingroup$ Why don't you post the data that you have and state what you are explicitly doing with it and what you hope to yield.. $\endgroup$
    – Attack68
    Jul 29, 2023 at 11:11
  • $\begingroup$ If the FX currency is liquid enough, you could try using OIS/deposit rates to figure out forward rate using covered interest parity. Not sure if that's what your after or not. $\endgroup$
    – user68318
    Jul 29, 2023 at 22:29

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