Short-date swap points run between their own two value dates
Table of Contents
1. Summary
A swap's points are the difference between its far and near outrights. A spot-start swap therefore has the forward points of its tenor, and the two terms are often used for each other. The short dates differ, because each one is a swap between its own two value dates.
2. Detail
| Tenor | Near date | Far date |
|---|---|---|
| Overnight (O/N) | Today | Tomorrow |
| Tom-next (T/N) | Tomorrow | Spot, for a T+2 pair |
| Spot-next (S/N) | Spot | One business day after spot |
For outright deals the same dates are named value today, value tomorrow and value spot-next. Later tenors run from spot, so 1M is one month after spot.
Because each short date is a one-day swap, their points chain back from spot. Valuation spot date and overnight applies this to outrights before spot. A consumer that shows both columns must state which pair of dates a row uses.
3. See also
- FX forwards — the structure note.
- Forward points are the difference between the outright and spot — completes: the spot-start case.
- FX Swap — completes: the instrument.
- Tenor — completes: the labels.
- Valuation spot date and overnight — completes: the formulas that use these swaps.