FX Forward

Term Sheet

Currency
Valuation Date
Maturity date
EUR Notional
USD Notional
spot
Operation
Calendar

Market Data

Counterparty CDS spread in bps
Own CDS spread in bps

Results

Info

If forward points data available then forward valuation is based on syntetic USD curve which reproduces fx forwards

Else USD 3m curve is used to project EURUSD forward rate

CVA Credit Valuation Adjustement is calculated on individual basis.

negative CVA means DVA i.e. to get credit risk adjusted valuation add this to NPV