Foreign Exchange

Derivity Analytics supports FX spot, forward, deposit and FRA pricing via a suite of dedicated displays.

Features

• Spot, forward, outright & forward forwards
• Cross currency calculations
• Standard, IMM and broken dates
• Deposit rate and deposit forward forwards
• Synthetic swap from deposit rates
• Synthetic rate opportunity highlighting
• Ultimo compensation in calculations
• FRA pricing from 3 month contracts via future strip methodology
• Synthetic derivation of cash to first future
• Quarterly and serial future contracts supported
• Long dated forwards from custom zero coupon curve
• Forwards from Futures