Questions tagged [forward-curve]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0
votes
0answers
34 views

Comparing curve fits

I am experimenting with building a forward curve. I have a piece of code which constructs my prototype curve. I've got a curve sample which was constructed manually and I use it as the baseline - the &...
0
votes
0answers
31 views

FX Forward Curve Date Roll

I an typical efx system, fx forward curves are built from reuters broker pages and then spreads, skews and overrides are applied before streaming their own prices. These cache of curves need to be ...
1
vote
1answer
93 views

curve construction for Non deliverable forward

how to construct a forward curve for Non Deliverable Forwards if I Have swap points and outright forward Is it good to construct a curve using forward swap point or directly outright forwards ...
0
votes
0answers
45 views

CME Metals Settlement methodology

I'm reading the docs on CME Metal's settlement methodology and looking at the examples section: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Metals+Futures+Settlement+Algorithm+Examples For ...