This document provides the formulae and detail computation used by CS Lucas for computing forward FX rate.
WHY IS THIS IMPORTANT?
This allows users to verify the formula and methodology used by CS Lucas to compute the forward FX rate.
1. From the main menu, click Tools > Forward Excrate.
2. The following page displays.
3. Select the reporting as at date for MTM and the FX transaction’s VDate. By default, it is the system date.
4. Select the FX transaction currencies.
5. Select the exchange rate to be used for computing FX forward rate. Exchange rate types are Valuation, Accounting and Alternative.
6. Click Recomp.
7. The system displays the computation for the FX forward rate.
Analysis for the interpolation of the FX forward points
As At Date: 30 Jun 2017
Swap points maintained as follows:
Total days from reporting as at date to transaction’s value date = 133 days
Calculation for the interpolated forward points = (-39-(-19.5)/(182-91)*(133-91)+(-19.5)
Spot rate is from exchange rate maintained on the reporting as at date, 30 Jun 2017. If no rate maintained, the last available rate will be used.
Fwd Rate = 1.37670 + (-28.5/10000)
FREQUENTLY ASKED QUESTIONS
Creating and Maintaining Swap Points