FRD

Question 1

Are values on the forward curve contributed?

Answer 1

Yes

Question 2

How are dark orange forward rates calculated?

Answer 2

They’re implied from interest rates (not contributed)

Question 3

How can implied forward rates be pulled into excel?

Answer 3

FX Toolkit formulas only

Question 4

What are IMM Dates?

Answer 4

Quarterly maturity dates published on the 3rd Wednesday (March, June, Sep, Dec)

Question 5

Why are IMM Dates used?

Answer 5

• Maturity for contracts like futures and options so forward rates can be compared to them

Question 6

What are Pillar Date Tenors?

Answer 6

Settlement dates for the first and last business days of each quarter

Question 7

Why are pillar dates used?

Answer 7

• Used by players who may need to settle forwards on a quarterly basis
• Add additional data points for more accurate interpolation

Question 8

How are pillar dates calculated?

Answer 8

Using Bloomberg’s proprietary pricing engine

Question 9

Are pillar dates available for all currencies?

Answer 9

No, just the following 8
USDJPY, EURUSD, GBPUSD, USDCHF, USDCAD, AUDUSD, NZDUSD, USDSEK

Question 10

What are broken dates?

Answer 10

Forward contracts that settle on non-even settlement dates

Question 11

How are broken dates calculated?

Answer 11

Using linear interpolation (cubic for BRL)

Question 12

Name 4 reasons clients may have different broken dates values?

Answer 12

1 - Different spot/forward sources
2 - Different pricing dates
3 - Different Tenors selected
4 - Interpolation method may be different
5 - Start Date may be different
6 - If the forward rates are cross-calculated (via is ticked)
7 - Auto refresh is ticked/unticked
8 - Market Contributions (availability of contributions for a specific tenor)