Foreign Exchange Forward Curve Related Functions

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Construction Functions

Excel: =McpFXForwardPointsCurve2(args1, args2, args3, args4, args5, fmt="VP")

Python: McpFXForwardPointsCurve2(*args)

• Function: Constructs a bilateral foreign exchange forward curve.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following four input methods:
    1. First Parameter Set:
       • ReferenceDate: Trade date.
       • BidFXSpotRate: Bid-side spot rate.
       • BidForwardPoints: Array of bid-side forward points.
       • AskFXSpotRate: Ask-side spot rate.
       • AskForwardPoints: Array of ask-side forward points.
       • Tenors: Array of tenors.
       • Method: Interpolation method (default is LINEARINTERPOLATION).
       • Calendar: Holiday calendar object (default is empty).
       • Pair: Currency pair (default is USD/CNY).
    2. Second Parameter Set:
       • Similar to the first set but adds ScaleFactor (default is 10000) and QuoteUnit (default is 1).
    3. Third Parameter Set:
       • ReferenceDate: Trade date.
       • BidSpot: Bid-side spot rate.
       • AskSpot: Ask-side spot rate.
       • ForeignCurve2: Interest rate curve object for Ccy1.
       • DomesticCurve2: Interest rate curve object for Ccy2.
       • Calendar: Holiday calendar object (default is empty).
       • ScaleFactor: Default is 10000.
       • QuoteUnit: Quote unit (default is 1).
    4. Fourth Parameter Set:
       • ReferenceDate: Trade date.
       • FxForwardPointsCurve2_1: Forward curve object for currency pair 1.
       • FxForwardPointsCurve2_2: Forward curve object for currency pair 2.
       • IsCur1Direct: Whether currency pair 1 is a direct quote.
       • IsCur2Direct: Whether currency pair 2 is a direct quote.
       • BidFXSpotRate: Bid-side spot rate.
       • AskFXSpotRate: Ask-side spot rate.
       • CrossFXSpot: Whether to use the cross-calculated spot rate.
       • Calendar: Holiday calendar object (default is empty).
       • SpotDate: Value date.
       • ScaleFactor: Default is 10000.
       • QuoteUnit: Quote unit (default is 1).
       • QuoteUnit1: Quote unit for currency pair 1 (default is 1).
       • QuoteUnit2: Quote unit for currency pair 2 (default is 1).
  • fmt: Parameter format (default is VP),Excel-specific parameters.
• Returns: Bilateral foreign exchange forward curve object.

Server-side functions

Excel: =McpFXForwardPointsCurves2(identifiers, refdate)

• Function: Constructs a bilateral forward curve object using the forward curve identifier.
• Parameters:
  • identifiers: Forward curve identifier.
  • refdate: Pricing date.
• Returns: A bilateral forward curve object for subsequent calculations.

Excel: =McpFXForwardPointsCurve(args1, args2, args3, args4, args5, fmt="VP")

Python: McpFXForwardPointsCurve(\*args)

• Function: Constructs a unilateral foreign exchange forward curve.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following three input methods:
    1. First Parameter Set:
       • ReferenceDate: Trade date.
       • Tenors: Array of tenors.
       • FXForwardPoints: Array of forward points.
       • FXSpotRate: Spot rate.
       • Method: Interpolation method (default is LINEARINTERPOLATION).
       • Calendar: Holiday calendar object (default is empty).
       • ScaleFactor: Scaling factor.
    2. Second Parameter Set:
       • ReferenceDate: Trade date.
       • FXOutright: Array of forward outright prices.
       • Tenors: Array of tenors.
       • Method: Interpolation method (default is LINEARINTERPOLATION).
       • Calendar: Holiday calendar object (default is empty).
       • FXSpotRate: Spot rate.
       • ScaleFactor: Scaling factor.
    3. Third Parameter Set:
       • ReferenceDate: Trade date.
       • Tenors: Array of tenors.
       • FXForwardPoints: Array of forward points.
       • FXSpotRate: Spot rate.
       • Method: Interpolation method (default is LINEARINTERPOLATION).
       • Calendar: Holiday calendar object (default is empty).
       • Pair: Currency pair.
  • fmt: Parameter format (default is VP),Excel-specific parameters.
• Returns: Unilateral foreign exchange forward curve object.

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Foreign Exchange Usage Functions

Excel: =Fxfpc2FXForwardPoints(Curve, Date, BidMidAsk)

Python: FXForwardPoints(*args)

• Function: Retrieves the forward points for a specified date from a bilateral foreign exchange forward curve.
• Parameters:
  • Curve: Bilateral foreign exchange forward curve object.
  • Date: Target date.
  • BidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the Curve parameter, other parameters are the same as those in Excel.
• Returns: Forward points for the specified direction.
• Example:

  =Fxfpc2FXForwardPoints(McpFXForwardPointsCurve2(...), "2023-12-31", "mid")

  Returns 0.0015 (assuming the mid forward points are 15 pips).

Excel: =FxfpcFXForwardPoints(Curve, Date)

Python: FXForwardPoints(endDate)

• Function: Retrieves the forward points for a specified date from a unilateral foreign exchange forward curve.
• Parameters:
  • Curve: Unilateral foreign exchange forward curve object,Python API does not require this parameter.
  • Date: Target date.
• Returns: Forward points.

Excel: =Fxfpc2FXForwardOutright(Curve, Date, BidMidAsk)

Python: FXForwardOutright(*args)

• Function: Retrieves the forward outright price for a specified date from a bilateral foreign exchange forward curve.
• Parameters:
  • Curve: Bilateral foreign exchange forward curve object.
  • Date: Target date.
  • BidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the Curve parameter, other parameters are the same as those in Excel.
• Returns: Forward outright price for the specified direction.

Excel: =FxfpcFXForwardOutright(Curve, Date)

Python: FXForwardOutright(endDate)

• Function: Retrieves the forward outright price for a specified date from a unilateral foreign exchange forward curve.
• Parameters:
  • Curve: Unilateral foreign exchange forward curve object,Python API does not require this parameter.
  • Date: Target date.
• Returns: Forward outright price.

Excel: =Fxfpc2TOForwardOutright(curve, startDate, endDate, findMax, bidMidAsk)

• Function: Calculates the worst-case outright price for a Time Option (or Delivery Window) Forward contract.
• Parameters:
  • curve: A forward curve object (typically a VanillaSwap object).
  • startDate: Start date of the delivery window.
  • endDate: End date of the delivery window.
  • findMax: Boolean indicating whether to find the maximum price (True for the worst-case scenario, typically unfavorable to the client).
  • bidMidAsk: Price direction (Bid, Mid, Ask).
• Returns: The worst-case outright price.

Excel: =Fxfpc2TimeOptionDate(curve, startDate, endDate, findMax, bidMidAsk)

• Function: Calculates the specific delivery date corresponding to the worst-case price scenario for a Time Option Forward contract.
• Parameters:
  • curve: A forward curve object (typically a VanillaSwap object).
  • startDate: Start date of the delivery window.
  • endDate: End date of the delivery window.
  • findMax: Boolean indicating whether to find the maximum price (True for the worst-case scenario, typically unfavorable to the client).
  • bidMidAsk: Price direction (Bid, Mid, Ask).
• Returns: The delivery date corresponding to the worst-case price.

Excel: =ImpliedFwdPoints(pair, baseRate, termRate, spot, spotDate, deliveryDate)

• Function: Calculates the implied forward points based on interest rates for two currencies, the spot rate, and relevant dates.
• Parameters:
  • pair: Currency pair (e.g., USDCNY).
  • baseRate: Interest rate for the base currency (Ccy1).
  • termRate: Interest rate for the term currency (Ccy2).
  • spot: Spot exchange rate price.
  • spotDate: Spot value date.
  • deliveryDate: Forward delivery date.
• Returns: The calculated forward points.

Excel: =ImpliedForward(pair, baseRate, termRate, spot, spotDate, deliveryDate)

• Function: Calculates the implied forward outright rate based on interest rates for two currencies, the spot rate, and relevant dates.
• Parameters:
  • pair: Currency pair (e.g., USDCNY).
  • baseRate: Interest rate for the base currency (Ccy1).
  • termRate: Interest rate for the term currency (Ccy2).
  • spot: Spot exchange rate price.
  • spotDate: Spot value date.
  • deliveryDate: Forward delivery date.
• Returns: The calculated forward outright rate.

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