ORE Studio publishes FX forwards derived from published curves

The calculation is a pure function of its inputs, and the curves already pass through a publish per currency. The published set records what the firm used at an as-of: the numbers, the spot, both curve publishes, the convention, the method and the approval. A later change to an input does not alter it. The set is a record of a decision, so it does not go stale. It can only be superseded.

The calculation uses dates and discount factors, so different day-count conventions do not enter it. See FX forward calculations run on discount factors and not quoted rates.

• A market forward holds the basis, and the BIS documents a persistent basis since 2007. A quoted forward and an ORE price under a cross-currency curve will differ.
• Points are outputs. See Swap points and interest rate differentials are two views of one number.
• A withdrawn funding curve leaves forward sets built from it, so the set must show that. An end-of-day FX rate set must be complete and independently verified needs such a record.

A forward set belongs to a party, and so do the two funding curves it reads. The raw spot is the system's, reached through the party's subscription. USD-hub pairs come first. A pair's spot days are the larger of its two currencies, as FX spot date and settlement states.