http://quantlib.414.s1.nabble.com/Correct-way-to-price-fx-forward-tp16801p16808.html
If we have a forward contract of EURJPY, (buy EUR at future) , do we need both OIS curves of both JPY n EUR? Are the OIS curves built upon par swap rate where floater is using OIS, or it is an implied curve of cross currency using forward point?
Please advise what is CSA currency and is it base / quoted or reporting currency?
> On 19 Aug, 2015, at 1:40 am, Peter Caspers <
[hidden email]> wrote:
>
> 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
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