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Former Member
Mar 05, 2013 at 09:48 AM

FX forward valuation


HI, Expert

I would like to value our FX forward transactions in the following way.

Notional amount x (Ask forward - Book value of the exchange rate)

Ask Forward = SpotAsk + Forward Ask Point

Forward ask points= SQ/B ASK x ( (iquote ASK- ibase BID) x t) /360

SQ/B ASK denotes the ASK price in the spot market for the base currency, in terms of the quote currency, expressed in decimal form.

iquote ASK is the annualized borrowing rate of the quote currency’s country expressed as a percentage.

ibase BID is the annualized lending rate of the base currency’s country expressed as a percentage.

t is the number of days until the forward contract is settled.

Is it possible to perform in SAP Treasury ?