FX forward rate calculator

An FX forward locks in an exchange rate for a future date. Under covered interest parity the forward is set so that neither side gains from the interest-rate difference between the two currencies.

Forward rate

1.08836

Forward points: 33.6 pips; Base trades at a forward premium
Annualised premium / discount: 1.240%

1. 基礎数式およびプライシング恒等式

Forward = Spot × (1 + r_quote × days ÷ basis_quote) ÷ (1 + r_base × days ÷ basis_base)

Forward points = Forward − Spot

2. 入力パラメータと使用方法

Quote the pair as BASE/QUOTE, e.g. EUR/USD where EUR is the base. Enter the money-market rate for each currency and the number of days to settlement.

Most currencies use an ACT/360 day count; GBP, AUD, NZD, CAD and a few others use ACT/365.

If the quote currency has the higher interest rate, the forward trades at a premium to spot (positive points), and vice versa.

3. 前提条件およびモデルの限界

Uses simple interest for periods up to a year, as in the money market. Longer tenors are normally priced off swap curves.
Ignores the cross-currency basis, which can move real forward prices away from textbook parity.

4. よくある質問とリスク管理解説（FAQ）

What are forward points in pips?

Forward points are usually quoted in pips: multiply the price difference by 10,000 for most pairs, or by 100 for yen pairs.

Is the forward rate a forecast of the future spot rate?

No. It reflects the interest-rate difference between the two currencies, not an expectation of where spot will be.

「FX forward rate calculator」の計算結果を機関リスク管理フローでどのように検証できますか？

QuantCalc Tools は本ページにすべての数式と日数基準を明記しています。リスク管理チームは同一の入力値をPython/Pandas等で独自に再現でき、さらに QuantCalc Tools のライセンス検証センターで取引先法人の規制ステータスを確認できます。

免責事項：本ツールは教育および定量リサーチのみを目的としており、投資助言ではありません。計算結果は入力値と上記の前提条件に依存するため、重要な数値は独自に検証してください。