Converting FX Forward Points into an Outright Forward Rate

Summary

The document explains how to calculate an FX outright forward rate from spot and broker-quoted forward points. The stated calculation is to add the forward points to spot: for the one-month EUR/PLN example, 3.4550 plus 0.0079 gives 3.4629. The question also includes volatility, deposit rates, butterfly, and risk-reversal quotes, but the answer says those fields are not needed for this conversion.

Forward points are commonly quoted separately from spot, with a market-convention divisor used to express them in points. The answer expects a divisor of 10,000 for EUR/PLN, making the stated one-month forward points equivalent to 79 points. That divisor is presented as an expectation, so users should confirm the relevant convention for their currency pair and broker. The example corrects a column mix-up in the original calculation and does not explain how to derive forward points from interest rates.

Key ideas

• An FX outright forward rate is calculated by adding quoted forward points to spot.
• The one-month example gives an outright rate of 3.4629 from spot of 3.4550 and forward points of 0.0079.
• A market-convention divisor converts quoted forward points into point units.
• The volatility, butterfly, risk-reversal, and deposit-rate fields are unnecessary for this direct conversion.

Tags

# compute FX forward from broker's data


# compute FX forward from broker's data












assume I have following delta-term vol data from broker:

```
Spot 3.4550
                 O/N      1WK      2WK      3WK      1M       6WK      2M
Volatility       7.544    7.7      7.731    7.911    8.025    8.18     8.4
Forward Points   0.0004   0.0021   0.0045   0.0063   0.0079   0.0106   0.0164
EUR Depo Rate    0.405    1.205    1.145    1.128    1.1      1.11     1.13
PLN Depo Rate    4.216    5.028    4.586    4.187    3.558    3.58     3.626
Butterfly        0.157    0.19     0.229    0.268    0.34     0.368    0.44
RiskReversal     0.35     0.45     0.567    0.683    0.9      0.983    1.2
```

is this for sure that $f=S+Forward Points$ so

$f_{ON}=3.4550+ 0.0004=3.4554$

$f_{1M}=3.4550+ 0.0079=3.4629$

and so on, regardless delta quoting convensions and ATM convensions

## Answer by Phil H (score 3, accepted)

https://quant.stackexchange.com/a/7432

If you're asking what the FX Outright for 1M EUR/PLN is, given that table, then yes the answer is just outright = spot + fwd points, which is 3.4550 + 0.0079 = 3.4629 (you had the wrong column for your 1M value).

Usually fwd points are quoted directly (i.e. not as an outright), using a divisor set by market convention. I expect EUR/PLN divisor to be 10,000, so that would be quoted as 79 pts.

So no, you don't need any of the rest of the data in the table.

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