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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1$\begingroup$ Why do you not want to use a spot rate when the convention is to quote in forward points? $\endgroup$– oronimbusJul 28 at 20:03
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$\begingroup$ What exactly does the sentence "compute from spot without using spot" mean? $\endgroup$– AKdemyJul 28 at 20:54
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$\begingroup$ 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 at 11:11
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$\begingroup$ 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. $\endgroup$– user68318Jul 29 at 22:29
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