hey folks, quick (and maybe stupid) question on foreign exchange forward rates. is there an institute of some sort that keeps track of FX forward rates that settled on each day (i.e. bid-ask spread)? or is the forward rate determined solely between the participants and thus the settled rates are not tracked nor known? i understand that i can calculate the prices using the interest rate parity formula and the historcal exchange spot and interest rates, but i’d like to see the actual market data. btw…i am a first time poster and i will be writing the l2 exam this june. thanks all. jc
No you can’t calculate it using interest rate parity because you don’t know the interest rate differential (it’s called the implied repo rate and is not directly tradable). The data is absolutely available from a variety of sources but you have to buy it. Futures data is much cheaper and more usable for most things. If you have forward data, it is usually thing like constant 30-day tenor contracts which isn’t a tradable data stream.