There is a newer version of the record available.

Published July 2, 2020 | Version v1
Presentation Open

FX Implied Forward Curve

Authors/Creators

  • 1. RBC

Description

FX forward curve is also called FX implied forward curve or FX derived curve. It is derived from USD zero rate curve and
FX forward spreads and used to value FX trades. 

 

Market standard is to use FX quoted forward spreads and USD zero rate curve to generate FX implied forward curve. In other words, FX curve construction generates an interest rate curve of the quoting currency from the interest rate curve of
the base currency. The construction methodology is based on the arbitrage free relationship between forward FX rates and
the discount rates of the two currencies.

Notes

https://ia801408.us.archive.org/11/items/fx-forward-curve-8/FxForwardCurve-8.pdf

Files

FxForwardCurve-8.pdf

Files (332.6 kB)

Name Size Download all
md5:3c1532ed27672b4b770be7c0c4a17a07
332.6 kB Preview Download