Valuation models

FX forward

Outright forward rate, forward points, mark-to-market and rate sensitivities from covered interest parity on two currencies' curves.

Inputs

The forward buys EUR and sells USD at the contract rate.

Currency pairBuy (EUR)Spot (USD per EUR)MaturityyContract rateNew trade at today's forwardEUR curveEUR curve: flat rate% ccUSD curveUSD curve: flat rate% cc

Results

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Methodology

Conventions

Covered interest parity, no cross-currency basis.

References

Hull, Options, Futures, and Other Derivatives, ch. 5

Formulas

Forward: F = S · D_base(T) / D_quote(T)