Calculating FX Overnight and Tomorrow-Next Outrights

Summary

The document explains the settlement legs underlying overnight (ON) and tomorrow-next (TN) FX swaps and lists the bid and ask outright calculations. ON spans today’s settlement to tomorrow’s, while TN spans tomorrow’s settlement to the following business day; for a T+2 currency, that next day is the spot date. The source emphasizes that these are swaps with two settlement dates rather than simple tenor labels.

The listed rules combine spot bid or ask with swap points from the opposite quote side: for example, a bid outright subtracts ask-side points, while an ask outright subtracts bid-side points. This reflects the need to calculate a tradable outright consistently with the dealer’s bid/ask spread across the relevant legs. The document provides the quotation rules but little derivation, market context, or treatment of currencies with different settlement conventions. Users should therefore apply the formulas with the correct settlement calendar and currency-specific spot convention.

Key ideas

• ON and TN are FX swaps, each defined by two settlement dates.
• ON runs from today’s settlement to tomorrow’s, while TN runs from tomorrow to the following business day.
• For a T+2 currency, the business day after tomorrow is the spot date.
• The outright bid calculations use ask-side swap points, while outright asks use bid-side points.
• Settlement calendars and currency conventions determine how the rules apply in practice.

Tags

# How to calculate the FX ON and TN swap points


# How to calculate the FX ON and TN swap points












Here is from the BBG page to calculate the FX ON and TN swap points,

my question is why it is to minus ask side points when calculate the bid side outright?

eg: ON bid outright: spot bid - TN ask points - ON ask points

Thanks.

```
BBG <HELP>
{LPHP FRD:0:1 2898067 }:
ON ("Overnight"), TN ("Tomorrow-Next"), and SN ("Spot-Next") are not tenors; they are swaps. Each are associated with two separate settlement dates, one for each leg:
• ON is the swap between TOD and TOM.
• TN is the swap between TOM and the following business day (which is spot in a T+2 currency).

{LPHP FRD:0:1 612124 }:
Certain rules apply when calculating two-day settlements for Overnight (ON) and Tomorrow Night (TN) outrights.
Two-Day Settlement Outright Calculations
• ON bid outright: spot bid - TN ask points - ON ask points
• ON ask outright: spot ask - TN bid points - ON bid points
• TN bid outright: spot bid - TN ask points
• TN ask outright: spot ask - TN bid points
```

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.