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Quantitative Finance · Glosarium

Apa itu Outright forward, forward points?

Dikenal juga sebagai: outright forward · forward points

Definition 16.1 Markets II: Rates, FX and Credit · Bab 16 — FX Swaps, Forwards and the Cross-Currency Basis

An outright forward is an agreement to exchange two currencies at a rate FF fixed today, for value on a date after spot. Its forward points are F−SF - S expressed in pips of the pair: the market quotes forwards as points added to the spot rate.

Contoh

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 −106.7-106.7 pips of 0.01 yen. A basis of −25-25 basis points on the yen leg, as defined below, lowers it to 155.7059, −116.4-116.4 pips. The one-day tom-next points are −1.18-1.18.

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