FX Implied Forward Curve

David Lee
2020 Zenodo  
FX forward curve is also called FX implied forward curve or FX derived curve. It is derived from USD zero rate curve and FX forward spreads and used to value FX trades. Market standard is to use FX quoted forward spreads and USD zero rate curve to generate FX implied forward curve. In other words, FX curve construction generates an interest rate curve of the quoting currency from the interest rate curve of the base currency. The construction methodology is based on the arbitrage free
more » ... age free relationship between forward FX rates and the discount rates of the two currencies.
doi:10.5281/zenodo.3928681 fatcat:kq7dynq6djdvfivge3v7fxgcki