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Handle valuation of FX forwards

Valuation of FX Forwards

FX Forward positions are valued based on Yield Curves in FA. To learn more about how this works, see the FA Back reference, Valuation of forward cashflows.

To configure FX Contracts valuation, you need to set up the Yield Curves. (For more information on Yield Curves, refer to the FA Back Reference: Preference - Yield curves.) The easiest way to do this is by installing one of the two available optional packages called Yield curves and Interest rate securities. The first package uses Interbank rates (for example Euribor and LIBOR) to construct the yield curves, while the second package uses Central bank interest rates via OISs (Overnight Index Swaps).

Note that you should only install one of the packages to avoid having multiple yield curves for a single currency. If you have multiple curves for a currency, the curve used is picked randomly.

The Yield curves and interest rate securities (interbank rates) package contains yield curves pre-configured for 10 currencies:

  • AUD (BBSW)

  • CAD (CDOR)

  • CHF (LIBOR)

  • DKK (CIBOR)

  • EUR

    • Euribor Yield Curve is pre-configured in Curve Group; LIBOR Yield Curve is also provided but needs to be altered in Curve Group if valuation should be based on that

  • GBP (LIBOR)

  • JPY (LIBOR)

  • NOK (NIBOR)

  • SEK (STIBOR)

  • USD (LIBOR)

The Yield curves and interest rate securities (central bank rates) package contains yield curves pre-configured for 5 currencies:

  • EUR (€STR)

  • GBP (SONIA)

  • JPY (TONA)

  • CHF (SARON)

  • USD (SOFR)

The setup is vendor-agnostic, and no update code is provided with either of the packages.

Get price updates from Bloomberg

You can enrich the securities created when installing either of the Yield curves and interest rate securities packages. To do this:

  1. Go to Tools → Create security → Bloomberg index after installing the package. Fill in the Mass create/update field:

    • If you use the Interbank rates, copy the following:

      US0003M.Index,US0001M.Index,US0001W.Index,US0002M.Index, US0006M.Index, US0012M.Index,EU0003M.Index,EU0001M.Index,EU0001W.Index,EU0002M.Index, EU0006M.Index, EU0012M.Index,SF0003M.Index,SF0001M.Index,SF0001W.Index,SF0002M.Index, SF0006M.Index, SF0012M.Index,JY0003M.Index,JY0001M.Index,JY0001W.Index,JY0002M.Index, JY0006M.Index, JY0012M.Index,BP0003M.Index,BP0001M.Index,BP0001W.Index,BP0002M.Index, BP0006M.Index, BP0012M.Index,NIBOR1W.Index,NIBOR1M.Index,NIBOR2M.Index,NIBOR3M.Index,NIBOR6M.Index,EUR001W.Index,EUR001M.Index,EUR003M.Index,EUR006M.Index,EUR012M.Index,CIBO01W.Index,CIBO01M.Index,CIBO03M.Index,CIBO06M.Index,CIBO12M.Index,STIB1D.Index,STIB1W.Index,STIB1M.Index,STIB2M.Index,STIB3M.Index,STIB6M.Index,BBSW1M.Index,BBSW2M.Index,BBSW3M.Index,BBSW6M.Index,BBSW1Y.Index,CDOR01.Index,CDOR02.Index,CDOR03.Index,CDOR06.Index,CDOR12.Index

    • If you use Central bank rates, copy the following in the Mass create/update field:

      BPSWS1.Curncy,BPSWS1Z.Curncy,BPSWSA.Curncy,BPSWSB.Curncy,BPSWSC.Curncy,BPSWSF.Curncy,EESWE1.Curncy,EESWE1Z.Curncy,EESWEA.Curncy,EESWEB.Curncy,EESWEC.Curncy,EESWEF.Curncy,JYSO1.Curncy,JYSO1Z.Curncy,JYSOA.Curncy,JYSOB.Curncy,JYSOC.Curncy,JYSOF.Curncy,SFSNT1.Curncy,SFSNT1Z.Curncy,SFSNTA.Curncy,SFSNTB.Curncy,SFSNTC.Curncy,SFSNTF.Curncy,USOSFR1.Curncy,USOSFR1Z.Curncy,USOSFRA.Curncy,USOSFRB.Curncy,USOSFRC.Curncy,USOSFRF.Curncy

  2. Click Fetch all securities from security list.

When the data is fetched, click Import fetched securities to update the securities with data from Bloomberg and set up their update codes so that they receive prices from Bloomberg.

Get price updates from EOD

If you use the Interbank rates, you can also get the price updates from EOD Historical Data. To do that, open the Security window and add the following in relevant update code field:

  • Euribor:

    EURIBOR<Period>.MONEY

    Periods are: 1W,1M,2M,3M,6M & 12M

  • Libor

    LIBOR<CCY><Period>.MONEY

    Periods are 1W,1M,2M,3M,6M & 12M

Currently, no other interest rates are available from EOD.

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