Asia NDF Curves

emfxnewbie · January 21st, 2013, 1:50 pm

I am looking to build pricing models for NDF curves having moved recently from G10 FX forward desk. I am having problems understanding both the very short end pricing (Ie Tom fix) as well as the longer dated pricing. For some mkts such as INR and KRW I can build okish curves using domestic inputs and then some variable of basis ... however for others such as PHP any results are meaningless next to actual mkt pricing... any advice on good articles to read for this area..

acastaldo · January 21st, 2013, 4:45 pm

QuoteRTT News 12/26/2012 11:20 PM ET The Philippines' central bank said it will impose limits on the currency forward positions of local and foreign banks to cap a surge in peso. [...] The new rules will take effects after February and will cover all kinds of NDFs. When a currency like PHP is not freely convertible due to capital controls it is not surprising that the standard theories of forward price determination via Covered Interest Parity et al. no longer apply.

nike61062x · February 7th, 2013, 7:06 pm

have you had any sucess with building ndf curves. I am also looking to do this for short dated more liquid currencies