fxForwardPricer

Syntax

fxForwardPricer(instrument, pricingDate, spot, domesticCurve, foreignCurve)

Details

Computes the Net Present Value (NPV) of the FX forward contract based on the given spot rate, domestic and foreign discount curves, and the pricing date.

Parameters

Note:

Scalar inputs will be automatically expanded to match the length of other vector inputs. All vector inputs must be of equal length.

instrument An INSTRUMENT scalar/vector of type FxForward, representing the FX forward to be priced. See Product Field Specifications for details.

pricingDate A DATE scalar/vector specifying the pricing date(s).

spot A DOUBLE scalar/vector representing the spot exchange rate(s).

domesticCurve A MKTDATA scalar/vector of type IrYieldCurve representing the domestic discount curve(s). See Curve Field Specifications for details.

foreignCurve A MKTDATA scalar/vector of type IrYieldCurve representing the foreign discount curve(s). See Curve Field Specifications for details.

Returns

A DOUBLE scalar/vector.

Examples

pricingDate = 2025.08.18

fxForward = {
    "productType": "Forward",
    "forwardType": "FxForward",
    "expiry": 2025.12.16,
    "delivery": 2025.12.18,
    "currencyPair": "USDCNY",
    "direction": "Buy",
    "notionalCurrency": "USD",
    "notionalAmount": 1E6,
    "strike": 7.1
}

curveDates = [2025.08.21,
              2025.08.27,
              2025.09.03,
              2025.09.10,
              2025.09.22,
              2025.10.20,
              2025.11.20,
              2026.02.24,
              2026.05.20,
              2026.08.20,
              2027.02.22,
              2027.08.20,
              2028.08.21]
domesticCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[1.5113, 
              1.5402, 
              1.5660, 
              1.5574, 
              1.5556, 
              1.5655, 
              1.5703, 
              1.5934, 
              1.6040, 
              1.6020, 
              1.5928, 
              1.5842, 
              1.6068]/100
}
foreignCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "USD",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[4.3345, 
              4.3801, 
              4.3119, 
              4.3065, 
              4.2922, 
              4.2196, 
              4.1599, 
              4.0443, 
              4.0244, 
              3.9698, 
              3.7740, 
              3.6289, 
              3.5003]/100
}

instrument = parseInstrument(fxForward)

domesticCurve = parseMktData(domesticCurveInfo)
foreignCurve = parseMktData(foreignCurveInfo)
spot = 7.1627

fxForwardPricer(instrument, pricingDate, spot, domesticCurve, foreignCurve)   // output: 1919.8118
fxForwardPricer([instrument, instrument], pricingDate, spot, domesticCurve, foreignCurve)
fxForwardPricer(instrument, [pricingDate, pricingDate], spot, domesticCurve, foreignCurve)
fxForwardPricer(instrument, pricingDate, [spot, spot], domesticCurve, foreignCurve)
fxForwardPricer(instrument, pricingDate, spot, [domesticCurve, domesticCurve], foreignCurve)
fxForwardPricer(instrument, pricingDate, spot, domesticCurve, [foreignCurve, foreignCurve])

Related functions: parseInstrument, parseMktData

Product Field Specifications


Field Name	Data Type	Description	Required
productType	STRING	Product name. It must be "Forward".	√
forwardType	STRING	Foreign exchange forward type. It must be "FxForward".	√
notionalAmount	DOUBLE	Notional principal amount	√
notionalCurrency	STRING	Notional principal	√
instrumentId	STRING	InstrumentId ID	×
expiry	DATE	Value date	√
delivery	DATE	Settlement date	√
currencyPair	STRING	The currency pair, in the format "EURUSD", "EUR.USD", or "EUR/USD". Supported currency pairs include: "EURUSD": Euro to US Dollar "USDCNY": US Dollar to Chinese Yuan "EURCNY": Euro to Chinese Yuan "GBPCNY": British Pound to Chinese Yuan "JPYCNY": Japanese Yen to Chinese Yuan "HKDCNY": Hong Kong Dollar to Chinese Yuan	√
direction	STRING	Trading direction, can be "Buy" or "Sell"	√
strike	DOUBLE	Strike price	√
domesticCurve	STRING	The domestic discount curve name	×
foreignCurve	STRING	The foreign discount curve name	×

Curve Field Specifications


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Curve"	√
referenceDate	DATE	Reference Date	√
curveType	STRING	Must be "IrYieldCurve"	√
dayCountConvention	STRING	The day count convention to use. It can be: "Actual360": actual/360 "Actual365": actual/365 "ActualActualISMA": actual/actual according to ISMA (International Securities Market Association) convention "ActualActualISDA": actual/actual according to ISDA (International Swaps and Derivatives Association) convention.	√
interpMethod	STRING	Interpolation method. It can be: "Linear": linear interpolation "CubicSpline": cubic spline interpolation "CubicHermiteSpline": cubic Hermite interpolation	√
extrapMethod	STRING	Extrapolation method. It can be Flat: flat extrapolation Linear: linear extrapolation	√
dates	DATE vector	Date of each data point	√
values	DOUBLE vector	Value of each data point, corresponding to the elements in dates.	√
curveName	STRING	Curve name	×
currency	STRING	Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD"	√
compounding	STRING	The compounding interest. It can be: "Compounded": discrete compounding "Simple": simple interest (no compounding). "Continuous": continuous compounding.	√
settlement	DATE	Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate".	×
frequency	INTEGRAL/STRING	The interest payment frequency. Supported values: -1 or "NoFrequency": No payment frequency 0 or "Once": Single lump-sum payment of principal and interest at maturity. 1 or "Annual": Annually 2 or "Semiannual": Semiannually 3 or "EveryFourthMonth": Every four months 4 or "Quarterly": Quarterly 6 or "BiMonthly": Every two months 12 or "Monthly": Monthly 13 or "EveryFourthWeek": Every four weeks 26 or "BiWeekly": Every two weeks 52 or "Weekly": Weekly 365 or "Daily": Daily 999 or "Other": Other frequencies	×
curveModel	STRING	Curve construction model; Currently, only "Bootstrap" is supported.	×
curveParams	DICT	Model parameters.	×