Broken Date Calculator
The Broken Date Calculator calculates forward rates for all common maturities. In addition to the forward rates (outright), the corresponding swaps and relative swaps (swaps %) are displayed. Bid and ask prices are available for all indicators.
Select the currencies from the first two drop-down lists.
The upper part of the widget displays the current exchange rates for the selected currencies including the exact exchange rate times. Forward points and rates are always calculated using US dollars as bridge currency.
Below, you will see the following columns in the "Overview" view:
| Column | Description |
|---|---|
| Val. | The value date period, that is, the term of the forward transaction. The following applies: "ON" = Overnight, "TN" = Tomorrow Next, "SN" = Spot Next, "W" = Weeks, "M" = Months and "Y" = Years. |
| Date | The corresponding date. The lower 15 rows can be configured. Select the relevant date using the calendar integrated in the "Date" column.
The selected rows are marked in the "Val." column. |
| Days | The exact number of days remaining until the value date for the selected currencies. |
| Swap Bid | The bid price of the swap at this value date for the selected currencies. |
| Swap Ask | The ask price of the swap at this value date for the selected currencies. |
| Swap % Bid | The bid price of the swap in percent at this value date for the selected currencies. |
| Swap % Ask | The ask price of the swap in percent at this value date for the selected currencies. |
| Outright Bid | The bid price of the outright at this value date for the selected currencies. |
| Outright Ask | The ask price of the outright at this value date for the selected currencies. |
From the view drop-down list at the top, you can select the following views (analogous to the column) in the Broken Date Calculator:
- Overview (default view)
- Chart: Swap Bid
- Chart: Swap Ask
- Chart: Swap % Bid
- Chart: Swap % Ask
- Chart: Outright Bid
- Chart: Outright Ask
Example: "Chart" view: Swap Bid"
The bid rates of the swap are indicated on the y-axis, the corresponding periods on the x-axis. Point to the chart line to display the corresponding price.
In the Widget Gallery, you find the "Broken Date Calculator" widget in the "Calculators" section of the "Other" category.