Constructing Non-Deliverable Forward Curves from FX Swap Quotes

Summary

The document raises practical questions about building a forward curve for non-deliverable forwards when swap points and outright forward quotes are available. It asks whether curve construction should use swap points or outright forwards, how to derive rates for other tenors from swap points, and where to find further study material. The response points to the implied interest rate calculation from an FX swap, suggesting the relationship between swap quotes and interest rates as the relevant starting point.

No actual construction procedure, interpolation choice, formula, worked example, or comparison of quote inputs is included. As a result, the document offers only a pointer rather than enough detail to implement or assess a curve-building method. It does not specify currencies, market conventions, collateral assumptions, or tenor treatment, all of which can affect the interpretation of NDF and swap quotes. Readers would need the referenced implied-rate material and market-specific conventions before drawing conclusions or constructing a usable curve.

Key ideas

• The question concerns constructing a non-deliverable forward curve from swap points or outright forward quotes.
• The response points to implied interest rate calculations from FX swaps as relevant background.
• The document does not provide a formula, interpolation method, or worked curve construction example.
• Currency conventions and market assumptions are unspecified and would be needed for implementation.

Tags

# curve construction for Non deliverable forward


# curve construction for Non deliverable forward












how to construct a forward curve for Non Deliverable Forwards if I Have swap points and outright forward

- Is it good to construct a curve using forward swap point or directly outright forwards

- Considering the curve construction using swap points then how to compute the rates using swap points for different tenors? Any mathematical formula'

- Kindly suggest some study material regarding the same.

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/58979

"how to compute the rates using swap points for different tenors? Any mathematical formula'"

Implied interest rate from FX swap

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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