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FX forward valuation excel

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Here we’ll show how to value FX forwards (Foreign eXchange) on EURUSD exchange rate in excel with quantlib excel addin

in this example we’ll need following market data:

  • EURUSD spot
  • EURUSD forward points (can get from bloomberg or reuters)
  • EUR discount curve (for example EUR 6m curve)

    • In this spreadsheet we first construct syntetic USD yield curve based on EURUSD forward points, so after we could use usual formulas for FX forward valuation

    FX forward valuation excel:

    FX forward valuation excel

    FX forward valuation excel EURUSD example

    Posted in OTC derivatives valuation