BestX FX Forward Methodology on Broken Dates

The FX forward market is one of the biggest components in FX trading. Market data is readily available for standard tenors (i.e. 1 week, 1 month, 3 months etc); however, the majority of forward trades will settle on broken dates rather than these standard tenors. Therefore, to provide an accurate mid price for these dates there must be some degree of interpolation between the standard tenors. In this paper, we will discuss how BestX constructs the forward curve to provide clients with accurate forward points on broken dates.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.