forward spot swap points l.
Download
Skip this Video
Loading SlideShow in 5 Seconds..
Forward = Spot +Swap points PowerPoint Presentation
Download Presentation
Forward = Spot +Swap points

Loading in 2 Seconds...

play fullscreen
1 / 5

Forward = Spot +Swap points - PowerPoint PPT Presentation


  • 361 Views
  • Uploaded on

Example ILS/USD. Forward = Spot +Swap points. Spot rate = 4.1653/4.1753 Swap points 1 M = 84/105 Forward rate 1M =4.1737/4.1858 . Roll over a Forward. Getting the same spot rate for the close of the previous forward and for the opening of the new one and adding the swap points for 1 month.

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'Forward = Spot +Swap points' - keaton


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
forward spot swap points

Example ILS/USD

Forward = Spot +Swap points

Spot rate = 4.1653/4.1753

Swap points 1 M = 84/105

Forward rate 1M =4.1737/4.1858

roll over a forward
Roll over a Forward

Getting the same spot rate for the close of the previous forward and for the opening of the new one and adding the swap points for 1 month

example

On January 1st. A company bought a forward contract on the USD/ILS to March 19.

On March 19 the company decided to roll over the forward to April 19.

Example

The company will sell the $ at the spot

Bid price=4.1653

The company will open a new forward to April 19

The forward rate= The spot of the sell + swap points

4.1758= Fwd=4.1653+0.0105

*

*

cross rate example
Cross rate - Example

Spot ILS/USD 4.1653/753

Spot USD/EUR 0.8946/51

Spot ILS/EUR 3.726/37

*

Swap points 1 M ILS/USD = 84/105

Swap points 1 M USD/EUR = -0.14/1.57

Swap points 1 M ILS/EUR = 72.52/89.59

*

Forward rate 1 M ILS/USD = 4.1737/858

Forward rate 1 M USD/EUR =0.8946/52

Forward rate 1 M ILS/EUR = 3.733/45

cross rate
Cross rate

A company wants to buy a forward on the Euro/ILS

2 choices:

*

3.745 , Buy a Euro forward /ILS

0.8952 , Buy a Euro forward /USD

4.1858 , Buy a USD forward /ILS

*

Buy Euro sell ILS = Sell ILS Buy USD, Sell USD Buy Euro

0.8952 *4.1858 =3.747