QUANT.FX.FORWARD OpenBI
The forward rate of a currency pair, from its spot and the two currencies' interest rates.
Group: Quantitative finance. OpenBI’s own: DAX has no function of this name.
Syntax
QUANT.FX.FORWARD ( <spot>, <date>, <maturity>, <domesticRate>, <foreignRate> )| Parameter | Type | Description |
|---|---|---|
spot | Number | Today's rate: units of the domestic currency for one unit of the foreign one (NOK for 1 EUR). |
date | Date | Today: the day the spot is for. |
maturity | Date | The day the forward is for. |
domesticRate | Number | The domestic currency's interest rate to maturity, as a decimal, continuously compounded. |
foreignRate | Number | The foreign currency's interest rate to maturity, as a decimal, continuously compounded. |
Returns
Number. The forward rate, in the same units as the spot.
Remarks
- It is covered interest parity: spot × e^((domestic rate − foreign rate) × days / 365). Holding the domestic currency earns its rate, holding the foreign one earns the other, and the forward makes the two the same.
- A currency with the higher rate is cheaper forward: when the domestic rate is above the foreign one, the forward rate is above the spot.
- On the date itself the forward equals the spot. A maturity before the date gives a rate back in time, not an error.
- Every argument must be a number or a date; a blank is an error.
Compared with DAX
An OpenBI function: DAX has none like it, so a measure or query that uses it works in OpenBI only, not in Power BI or Analysis Services.
Examples
EUR in NOK, six months and a year out
A spot of 11.20 NOK for a euro, NOK rates at 4 % and EUR rates at 2.5 %.
EVALUATE
ROW (
"Spot", 11.2,
"Six months", QUANT.FX.FORWARD ( 11.2, DATE ( 2026, 10, 13 ), DATE ( 2027, 4, 13 ), 0.04, 0.025 ),
"A year", QUANT.FX.FORWARD ( 11.2, DATE ( 2026, 10, 13 ), DATE ( 2027, 10, 13 ), 0.04, 0.025 )
)| Spot | Six months | A year |
|---|---|---|
| 11.2 | 11.2840839218585 | 11.3692663236961 |