FX Swap and FX Contract Pricing

CALCULATORS

FX Contracts




The page provides the calculation engine to derive discount factors for monetary and base currencies short term rates. Implied rates and swap points are also calculated based on user input in the respective tables. To see the default values or rates that you may have input, just click on the relevant tab above.

The last tab ('FX Contracts') allows user to add new fx contracts to a table. Just click the 'Add Row' button at the bottom right corner of the table to do so. With sufficient information, the row will calculate its 'Termination Value' and 'New Forward Rate'.

Value of fields below have been defaulted. User may change the date, rate and '1 point =', to the required value. '1 point = ' field refers to how the swap points are quoted. If it is 0.0001 and the swap point is quoted as 11, it is equivalent to 0.0011 (11 x 0.0001) in terms of exchange rate. The inclusion of the field allow the calculator to adapt to various currencies such as JPY, IDR and INR, to name a few.



Changing 'Current Date' above will change the current date of all the table. Recalculation will be made to the maturity dates and discount factors in the following tables:

  1. monetary currency interest rates
  2. base currency interest rates
  3. fx swap (only maturity dates)


Interest rate for the monetary currency and its setting are in the various fields in the tables. User can change the value in the yellow fields. Once edited click 'RECALCULATE DISCOUNT FACTORS' to see the effect of your changes. Changes made will also affect the values in 'Swap Points' tab.


INTEREST RATES FOR MONETARY CCY
(e.g. MYR)


Interest rate for the base currency and its setting are in the various fields in the tables. User can change the value in the yellow fields. Once edited click 'RECALCULATE DISCOUNT FACTORS' to see the effect of your changes. Changes made will also affect the values in 'Swap Points' tab.


INTEREST RATES FOR BASE CURRENCY
(e.g. USD)


The table consist of settings and data table for the swap. User can change the value in the yellow fields. Once edited click 'RECALCULATE IMPLIED' to see the effect of your changes.

'Implied Swap Point (%)' using foreign exchange rate, monetary and base currency rates (discount factors to be exact). 'Implied Monetary Ccy Rate (%)' are calculated using foreign exchnage rate, discount factors from base currency rates and the input (or default) values of the swap points. 'Implied Base Ccy Rate (%)' are calculated using foreign exchnage rate, discount factors from monetary currency rates and the input (or default) values of the swap points.


FX SWAP
(e.g. USD\MYR)


We also provided a table for user to input a simple fx contract which provides termination value of the contract and new fx rate if a new delivery date is filled. Just 'Add Row' to start adding a contract.

'Termination Value' is not provided for 'Delivery Date' prior to spot date (or value date in the FX Swap table). Similarly, 'New Forward Rate' will not be provided if 'New Delivery Date' is on or prior to spot date.