A forward ladder can start from today, tomorrow or spot
Table of Contents
1. Summary
Each row of a ladder is a pair of dates, a near date and a value date. Choosing today, tomorrow or spot as the start sets the near date of the rows.
2. Detail
The standard ladder starts from spot. A forward-forward quote, such as 3M against 6M, is the general case. Its points are the difference between the two outrights. The rates on a ladder from another start are the same curve read between other dates. This is the design ORE Studio adopts.
3. See also
- FX forwards — the structure note.
- Forward Ladder — completes: the surface this acts on.
- Short-date swap points run between their own two value dates — completes: the near date of each short tenor.
- A forward ladder shows each pair's tenors as outrights and points — completes: the display.