FX Forward Curves

How BlueGamma constructs FX forward curves from market data.

BlueGamma provides FX forward rates derived from market data, allowing you to project future exchange rates for financial modelling and hedging.

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What Is an FX Forward Rate?

An FX forward rate is the exchange rate agreed today for a currency exchange that will occur at a future date. It differs from the spot rate due to the interest rate differential between the two currencies.

Example: If the EUR/USD spot rate is 1.05, the 1-year forward rate might be 1.07 — reflecting the fact that USD interest rates are higher than EUR rates.

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Covered Interest Rate Parity

FX forward rates are determined by covered interest rate parity — a no-arbitrage relationship between spot rates, forward rates, and interest rates in each currency.

$$F = S \times \frac{(1 + r_d)^t}{(1 + r_f)^t}$$

Where:

• F = Forward rate

• S = Spot rate

• r_d = Interest rate in domestic (quote) currency

• r_f = Interest rate in foreign (base) currency

• t = Time to maturity in years

Why This Works

If the forward rate deviated from this formula, traders could:

1. Borrow in one currency

2. Convert to the other at spot

3. Invest at that currency's rate

4. Lock in the forward rate to convert back

This arbitrage would be risk-free profit — so markets quickly eliminate any deviation.

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Forward Points

The difference between the forward rate and spot rate is expressed as forward points:

$$\text{Forward Points} = (F - S) \times 10{,}000$$

Forward points are quoted in pips (0.0001 for most pairs).

Example (December 2024):

	EUR/USD
Spot Rate	1.1776
6M Forward Rate	1.1873
Forward Points	+97 pips

Positive forward points mean the base currency (EUR) is trading at a forward premium — EUR rates are lower than USD rates, so EUR is worth more in the future.

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Example: EUR/USD Forward Curve

Here's the current EUR/USD forward curve (December 2024):

Tenor	Date	Forward Rate	Forward Points	Premium
Spot	—	1.1776	—	—
1M	Jan 2026	1.1793	+17	+0.14%
3M	Mar 2026	1.1825	+49	+0.42%
6M	Jun 2026	1.1873	+97	+0.83%
1Y	Dec 2026	1.1952	+176	+1.50%
18M	Jun 2027	1.2017	+241	+2.05%
2Y	Dec 2027	1.2081	+305	+2.59%
3Y	Dec 2028	1.2201	+425	+3.61%

EUR/USD forward curve showing EUR trading at a forward premium to USD

The upward-sloping curve reflects that EUR interest rates are lower than USD rates — so EUR trades at a forward premium (worth more in the future).

View live charts: See interactive FX forward curves in the BlueGamma app.

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Data Sources

BlueGamma sources FX forward data from institutional market data providers:

• Spot rates — Real-time interbank mid-rates

• Forward points — Derived from interbank forward markets

• Cross rates — Calculated via USD crosses where direct quotes unavailable

Interpolation

For dates between standard tenors, we interpolate forward points linearly to provide rates for any future date.

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Using FX Forwards in BlueGamma

API

Get spot rate:

curl "https://api.bluegamma.io/v1/fx?currency_pair=EURUSD" \
  -H "x-api-key: your_api_key"

Response:

{
  "currency_pair": "EURUSD",
  "rate": 1.1776
}

Get forward rate:

curl "https://api.bluegamma.io/v1/fx_forward?currency_pair=EURUSD&date=2026-06-15" \
  -H "x-api-key: your_api_key"

Response:

{
  "currency_pair": "EURUSD",
  "date": "2026-06-15",
  "rate": 1.1873
}

Excel Add-in

=BlueGamma.FX_RATE("EURUSD")
=BlueGamma.FX_FORWARD_RATE("EURUSD", "2026-06-15")

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Supported Currency Pairs

BlueGamma supports major and emerging market currency pairs:

G10 Currencies

Pair	Description
EURUSD	Euro / US Dollar
GBPUSD	British Pound / US Dollar
USDJPY	US Dollar / Japanese Yen
USDCHF	US Dollar / Swiss Franc
AUDUSD	Australian Dollar / US Dollar
USDCAD	US Dollar / Canadian Dollar
NZDUSD	New Zealand Dollar / US Dollar
EURGBP	Euro / British Pound

Emerging Markets

Pair	Description
USDBRL	US Dollar / Brazilian Real
USDMXN	US Dollar / Mexican Peso
USDZAR	US Dollar / South African Rand
USDTRY	US Dollar / Turkish Lira
USDKRW	US Dollar / South Korean Won

Cross rates (e.g., EURNOK, GBPJPY) are calculated via USD triangulation.

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Common Use Cases

Use Case	Description
FX hedging	Lock in future exchange rates for known cashflows
Foreign currency debt	Model repayments in home currency terms
Cross-border M&A	Value foreign acquisitions with forward FX assumptions
Revenue forecasting	Convert foreign revenue projections to reporting currency
Transfer pricing	Set intercompany FX rates for budgeting

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Related Documentation

• Interest Rate Curves — The interest rates that drive FX forwards

• Downloading FX Forward Rates — How to download FX data from the app

• API Reference — Complete API documentation