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Example 16.3 (Three-month USDJPY)

With USDJPY at 156.87, a dollar rate of 3.68% (actual/360) and a yen rate of 0.977% (actual/365), the 91-day forward by Equation 16.1 is 155.8028: forward points of $-106.7$ pips of 0.01 yen. A basis of $-25$ basis points on the yen leg, as defined below, lowers it to 155.7059, $-116.4$ pips. The one-day tom-next points are $-1.18$.