How to use IMM swaps--
To convert a futures price to an interbank (spot or cash) price, do the following (note: futures prices are usually quoted without decimals). |
For the YEN, SF and CD:
- FORMULA: Bank spot rate = (1/futures) - (swap rate).
Example: sfh = .7346, swap = -.0136
Calculate the spot rate: (1/.7346) - (-.0136) = $/sfr 1.3749
Example: jyh = .008458, swap -1.60
Calculate the spot rate: (1/.008458) - (-1.60) = $/yen 119.83
Example: cdh = .6504, swap -.0010
To calculate the spot rate: (1/.6504) - (-.0010) = $/cad 1.5365
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| For EC, BP, AD and EC:
FORMULA: Bank spot rate = futures - swap rate
Example: ech = 1.1280, swap +.0015
To calculate the spot rate:
1.1280 - (+.0015) = eur/$ 1.1265.
- Example: bph = 1.6540, swap -.0055
To calculate the spot rate: 1.6540 - (-0.0055) = stg 1.6595
Example: adh = .6205, swap +.0008
To calculate the spot rate: .6205 - (+0.0008) = aud .6197
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