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3-Month Forward Rate Calculation Guide

This document outlines the formula for calculating forward rates from spot rates, interest rate differentials, and tenors. It provides an example calculation of the bid and offer forward points and rates for IDR to USD using 3-month tenors, with spot rates between 9,150-9,175 and domestic interest rates of 8.50-9.00% for IDR and 5.00-5.50% for USD. The bid forward point is calculated as 68.63 and the offer as 91.75, resulting in bid and offer 3-month forward rates of 9,218.63 and 9,266.75 respectively.

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siti fatimatuzzahra
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14 views1 page

3-Month Forward Rate Calculation Guide

This document outlines the formula for calculating forward rates from spot rates, interest rate differentials, and tenors. It provides an example calculation of the bid and offer forward points and rates for IDR to USD using 3-month tenors, with spot rates between 9,150-9,175 and domestic interest rates of 8.50-9.00% for IDR and 5.00-5.50% for USD. The bid forward point is calculated as 68.63 and the offer as 91.75, resulting in bid and offer 3-month forward rates of 9,218.63 and 9,266.75 respectively.

Uploaded by

siti fatimatuzzahra
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

FORMULATION

FORWARD RATE: SPOT RATE +/- FORWARD POINT

FORWARD POINT = SPOT RATE x INTERST DIFFENTIAL


X TENOR

360

Price indication

Depo Interest rate for 3MO

IDR 8.50 - 9.00

USD 5.00 - 5.50

Spot rate: 9,150 - 9,175

Forward point:

BID (9,150 X (8.50-5.50) X 90 / (360 X 100) = 68.63

OFFER (9,175 x (9.00-5.00) X 90 / (360 X 100) = 91.75

3Mo Forward rate:

BID 9,150 + 68.63 = 9,218.63

OFFER 9,175 + 91.75 = 9,266.75

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