FXForward





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Returns the forward FX rate (or forward FX points) given domestic and foreign interest rates, spot FX value and a Forward date.



Note: Within Excel, the function is named - CT.FX.FXForward




High level graphic of FXForward() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. ValueDate parameter

    Valuation Date (typically equal to Today's date)
  2. ForwardDate parameter

    ForwardDate
  3. spotFX parameter

    FXRate on the 'ValueDate' date (domestic/foreign).
  4. domesticCCY parameter

    domestic currency.
  5. domesticRate parameter

    Domestic Rate.
  6. domesticDC parameter

    The DayCounter of the 'domesticRate' parameter.
  7. foreignCCY parameter

    foreign currency.
  8. foreignRate parameter

    Foreign Rate.
  9. foreignDC parameter

    The DayCounter of the 'foreignRate' parameter.
  10. outputType parameter

    The type of output you wuld like to view. Possile values are 'FXForward' or 'FXPoints'.


Extended information

Function Syntax

VB Syntax


Double CTCurrency.FXForward( _
Long ValueDate, _
Long ForwardDate, _
Double spotFX, _
CCYEnum domesticCCY, _
Double domesticRate, _
DayCountEnum domesticDC, _
CCYEnum foreignCCY, _
Double foreignRate, _
DayCountEnum foreignDC, _
String outputType)


Excel Spreadsheet Syntax


=CT.FX.FXForward(
Excel Numeric Cell ValueDate,
Excel Numeric Cell ForwardDate,
Excel Numeric Cell spotFX,
Excel String Cell domesticCCY,
Excel Numeric Cell domesticRate,
Excel String Cell domesticDC,
Excel String Cell foreignCCY,
Excel Numeric Cell foreignRate,
Excel String Cell foreignDC,
Excel String Cell outputType)


C++ Syntax


static double FXForward(
long ValueDate,
long ForwardDate,
double spotFX,
CCYEnum domesticCCY,
double domesticRate,
DayCountEnum domesticDC,
CCYEnum foreignCCY,
double foreignRate,
DayCountEnum foreignDC,
std::string outputType);


DotNET Syntax


System.Double CTCurrencySA.FXForward(
System.Int32 ValueDate,
System.Int32 ForwardDate,
System.Double spotFX,
CTIEnums.CCYEnum domesticCCY,
System.Double domesticRate,
CTIEnums.DayCountEnum domesticDC,
CTIEnums.CCYEnum foreignCCY,
System.Double foreignRate,
CTIEnums.DayCountEnum foreignDC,
System.String outputType);

Parameter data types

ArgNameArgTypeIsKey
ValueDateLongFALSE
ForwardDateLongFALSE
spotFXDoubleFALSE
domesticCCYCCYEnumFALSE
domesticRateDoubleFALSE
domesticDCDayCountEnumFALSE
foreignCCYCCYEnumFALSE
foreignRateDoubleFALSE
foreignDCDayCountEnumFALSE
outputTypeStringFALSE


Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
ValueDateFALSE19/Jul/2005 (serial date type)
ForwardDateFALSE21/Jul/2006 (serial date type)
spotFXFALSE0.8
domesticCCYTRUEEUR
domesticRateFALSE0.05
domesticDCFALSEACT365F
foreignCCYTRUEGBP
foreignRateFALSE0.03
foreignDCFALSEACT365F
outputTypeFALSEFXForward


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Curves20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the FXForward() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.


The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the FXForward() function call


0.815616605941331

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