Dear all,What are the Greeks for the currency FX forward? Assuming that the forward pricing model is F0 = S0 exp [(r_d - r_f)(T-t)].I have come up with my own stuff but would like to double check.

Is writing the value function a good place to start?

would say the three main things you have sensitivity to are:(1) fx spot(2) interest rate differential(3) cross currency basis fx forward is more like F(0,T) = S(0) exp( [r_d-r_f-q]*T ) where q is the cross ccy basis. might be +q, depends on the xccy pair. without it you will find your fx fwds won't match mkt. xccy basis is a supply & demand factor, so only really observed from mkt prices. the interest rate differential is a lot more observable (but just make sure you use the right rates assumption - i think they are quoted vs 3MLIBOR rather than OIS)

Quotefx forward is more like F(0,T) = S(0) exp( [r_d-r_f-q]*T ) where q is the cross ccy basis. might be +q, depends on the xccy pair. without it you will find your fx fwds won't match mkt. Hm, I did an exercise where I compared [$]S e^{(r_d-r_f)(T-t)}[$] with the market (Reuters quotes). For the vast majority of the cases I saw only very small differencesDo you know btw what the currency forward domestic rho is? Just want to understand the logic.if I start with a value function [$]V = e^{-r_d(T-t)}(F-K)[$] and work it out[$]V = e^{-r_d(T-t)}(F-K) = e^{-r_d(T-t)} (S e^{(r_d-r_f)(T-t)}-K) = S e^{-r_f(T-t)}-K e^{-r_d(T-t)}[$].Then, the derivative with respect to [$]r_d[$] is[$]K (T-t) e^{-r_d(T-t)}[$]Is this the domestic rho for the a currency forward contract?? Is this the way to think of it?

Is there perhaps a reference to the Currency (FX) forward Greeks?

I withdraw the question. I finally found the answer in David F. DeRosa Options on Foreign Exchange, which confirms that my derivations of the FX forward Greeks are correct.Thanks all anyway and sorry for posting this question in a few forums.

Dear all,

What is the rho for the currency futures contract? How does it differ from that of the currency forward contract?

What you say is true, indeed delta has to be on the value of the forward. 
How about futures though. Daily settlement changes the math, doesn't it? Ideas or references would be appreciated.