Hi, I am working on routines to calculate FX forwards and im having a bit of trouble making out rules to calculate prices from crosses.Say you want to calculate JPYCAD 1M and the price is derived from USDCAD, EURJPY and EURUSD. If there is a USD holiday on the sugested spotdate, we need to roll the EURJPY spot forward and add some spot next points before crossing out the JPYCAD spot. Also we need to adjust the deliverydate and value of the 1M contract to match the deliverydate from USDJPY and EURUSD, (which most likley will also be one day ahead).This is all nice and well. The problem occures when I want to calculate the spot one way and the fwd contract another way. Say JPYCAD SPOT is quoted from EURJPY and EURCAD, the spot delivery can take place without adjusting to the USD holiday. The fwd contract on the otherhand is calculated using USD as base for both currencies. Hence, the fwd contract will sugest the spot to be one day ahead. What is correct market practice to adjust for this inconsistency between spot dates?It seems wrong to roll the EURJPY and EURCAD forward since the spot calculation doesn't use USD.. ?To make matters even worse, Im also struggeling with situations like interpolating between tenors that are crosses in different ways, how do you find common delivery ground and fair adjustements in those situations?Any help from you FX traders out there would be veeery appreciated.

Ok,Firstly, for your specific examply of CAD/JPY (note market convention in terms of which way round to price), the euro is a red herring. This would price as usdjpy / usdcad. The problem with your suggestion of using eurjpy / eurcad as a way of getting round the whole usd holiday issue is 1) It doesnt always work that way (as banks who are pricing this stuff more often than not, when you drill down to actual trading floor logistics, fund in dollars anyway) and ii) as EUR/CAD is a derived price, all those calculations are still going on, you just can't see them. There's not nearly so much liquidity in straight eurcad (either in spot or in the swaps mkt).Secondly - in terms of date, you need to work out what your straight 1m date for the cross is. In the case of cadjpy, given that spot usd/cad is T+1 and spot usdjpy is T+2, it's going to be the later of the two and therefore be the same as the usdjpy (i.e. as of today I see 1m usdjpy as apr 15, 1m usdcad as apr 12 and for the cross also apr 15.Once you have all these dates to hand, you merely work out the bid / offer for the outright of both usd fx rates to your 1m cross date (i.e. straight 1m usdjpy and broken date 15 apr usdcad in this case) and then cross it up at the end.There may be other ways to achieve the same thing but that should work.Sorry - didn't quite grasp what the last part of your question meant...Hope that is at least of some help.Pascoe..

Hi!Thank you for trying to help me out.It seems Im causing a litte confusion due to unconventional examples.The issue im dealing with is when the forward contract is calculated in a different way then the spot.Say NOKDKK is traded as EURNOK & EURDKK (I think this is conventional but the 1M contract is constructed from traded swappts-contracts: USDNOK1M & USDDKK1M ( I beleve it's common practice to trade swappts agains USD no? )If my assumtions are correct it seems there could be inconsistency between dates here. The spot would not include USD, hence USD holidays on spot T2 (mar 15 as ex.) would not be adjusted for. But the 1M forward contract probably would suggest to extend between mar 16 and apr 16.So we would have:spot EURNOK (15mar) / EURDKK (15mar)swappts USDNOK1M (16mar - 16apr) / USDDKK (16mar - 16apr)The problem is the space between 15 mars and 16 mars. I cant really quote a fwd contract from (spot)15mar - (1M)16apr without any adjustements for this.. can I?