Posted by
Peter Caspers-4 on
Aug 18, 2015; 5:11pm
URL: http://quantlib.414.s1.nabble.com/Correct-way-to-price-fx-forward-tp16801p16802.html
Hello Boris,
usually one bootstraps fx curves using a reference OIS curve
consistent with the CSA currency of the market's fx forward quotes
(given as points over spot as you already mentioned). Then for pricing
of a collaterized fx forward you have to translate these curves to
your deal CSA currency, which defines a new OIS reference curve. This
can for example be done by assuming constant fx forwards when moving
to the new reference curve.
Does that help ?
Best regards
Peter
On 18 August 2015 at 16:11, Boris Chow <
[hidden email]> wrote:
> Hi all,
>
> I would like to ask if there is any standard way to price fx forward.
>
> In my old company, I see they use the yield curve to discount the forward curr1 and curr2 , and use current spot rate of report currency against them to do the final NPV.
>
> But I also hear that some others use current spot rate + forward point of curr1/curr2 to calculate the difference between new curr2 and original curr2.
>
> What is the more popular way?
>
> Thanks a lot,
> Boris
> ------------------------------------------------------------------------------
> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users