FXFuture

FXFuture instrument object

Since R2022a

Description

Create and price an FXFuture instrument object for one or more FX Future instruments using this workflow:

1. Use fininstrument to create an FXFuture instrument object for one or more FX Future instruments.

2. Use ratecurve to specify a curve model for the FXFuture instrument object.

3. Use finpricer to specify a Discount pricing method for one or more FXFuture instruments.

4. Use cashsettle to compute the cash settlement for the FXFuture instrument and fairdelivery to compute the fair delivery price for the underlying asset for the FXFuture instrument.

For more detailed information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available models and pricing methods for an FXFuture instrument, see Choose Instruments, Models, and Pricers.

Creation

Syntax

FXFutureObj = fininstrument(InstrumentType,Maturity=maturity_value,QuotedPrice=quoted_price,ForeignRateCurve=foreign_rate_curve)

FXFutureObj = fininstrument(___,Name=Value)

Description

FXFutureObj = fininstrument(InstrumentType,Maturity=maturity_value,QuotedPrice=quoted_price,ForeignRateCurve=foreign_rate_curve) creates an FXFuture object for one or more FX Future instruments by specifying InstrumentType and sets the properties for the required name-value arguments Maturity, QuotedPrice, and ForeignRateCurve.

The FXFuture instrument supports currency pairs where the price is quoted in domestic currency for one unit of foreign currency. For more information, see FXFuture.

FXFutureObj = fininstrument(___,Name=Value) sets optional properties using additional name-value arguments in addition to the required arguments in the previous syntax. For example, FXFutureObj = fininstrument("FXFuture",Maturity=datetime(2022,9,1),QuotedPrice=0.78,ForeignRateCurve=ForeignRC,Notional=200000,Name="fxfuture_instrument") creates an FXFuture. You can specify multiple name-value arguments.

Input Arguments

InstrumentType — Instrument type

string with value "FXFuture" | string array with values of "FXFuture" | character vector with value 'FXFuture' | cell array of character vectors with values of 'FXFuture'

Instrument type, specified as a string with the value of "FXFuture", a character vector with the value of 'FXFuture', an NINST-by-1 string array with values of "FXFuture", or an NINST-by-1 cell array of character vectors with values of 'FXFuture'.

Data Types: char | cell | string

Name-Value Arguments

Specify required and optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: FXFutureObj = fininstrument("FXFuture",Maturity=datetime(2022,9,1),QuotedPrice=0.78,ForeignRateCurve=ForeignRC,Notional=200000,Name="fxfuture_instrument")

Required FXFuture Name-Value Arguments

Maturity — FXFuture maturity date

datetime array | string array | date character vector

FXFuture maturity date, specified as Maturity and a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, FXFuture also accepts serial date numbers as inputs, but they are not recommended.

If you use date character vectors or strings, the format must be recognizable by datetime because the Maturity property is stored as a datetime.

QuotedPrice — FXFuture delivery price quoted in domestic currency for one unit of foreign currency

scalar numeric | numeric vector

FXFuture delivery price quoted in domestic currency for one unit of foreign currency, specified as QuotedPrice and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

ForeignRateCurve — Rate curve object for foreign currency

ratecurve object

Rate curve object for foreign currency, specified as a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects.

Data Types: object

Optional FXFuture Name-Value Arguments

Notional — Notional in foreign currency

100000 (default) | scalar numeric | numeric vector

Notional in foreign currency, specified as Notional and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Name — User-defined name for instrument

"" (default) | string | string array | character vector | cell array of character vectors

User-defined name for one or more instruments, specified as Name and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array.

Data Types: char | cell | string

Properties

Maturity — FXFuture maturity date

scalar datetime | vector of datetimes

FXFuture maturity date, returned as a scalar datetime or NINST-by-1 vector of datetimes.

Data Types: datetime

QuotedPrice — FXFuture quoted price

scalar numeric | numeric vector

FXFuture quoted price, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

ForeignRateCurve — Rate curve object for foreign currency

ratecurve object

Rate curve object for foreign currency, returned as a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects.

Data Types: object

Notional — Notional in foreign currency

100000 (default) | scalar numeric | numeric vector

Notional in foreign currency, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Name — User-defined name for instrument

"" (default) | string | string array

User-defined name for the instrument, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Object Functions

cashsettle	Compute cash settlement for BondFuture, CommodityFuture, EquityIndexFuture, or FXFuture instrument
fairdelivery	Compute fair delivery price of underlying asset for BondFuture, CommodityFuture, EquityIndexFuture, or FXFuture instrument

Examples

Price FXFuture Instrument Using ratecurve and Future Pricer

This example shows the workflow to price an FXFuture instrument when you use a ratecurve object and a Future pricing method.

Create ratecurve Objects

Create ratecurve objects using ratecurve for the foreign and domestic zero curves.

% Define Foreign Zero Curve
Settle = datetime(2022, 3, 1);
ForeignZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ForeignZeroRates = [0.0031 0.0035 0.0047 0.0058 0.0062 0.0093 0.0128 0.0182 0.0223 0.0285]';
ForeignZeroDates = Settle + ForeignZeroTimes;
ForeignRC = ratecurve('zero', Settle, ForeignZeroDates, ForeignZeroRates);

% Define Domestic Zero Curve
DomesticZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
DomesticZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
DomesticZeroDates = Settle + DomesticZeroTimes;
DomesticRC = ratecurve('zero', Settle, DomesticZeroDates, DomesticZeroRates);

Create FXFuture Instrument Object

Use fininstrument to create an FXFuture instrument object.

FXFut = fininstrument("FXFuture",Maturity=datetime(2022,9,1),QuotedPrice=0.78,ForeignRateCurve=ForeignRC,Notional=200000,Name="FXfuture_instrument")

FXFut = 
  FXFuture with properties:

            Maturity: 01-Sep-2022
         QuotedPrice: 0.7800
    ForeignRateCurve: [1x1 ratecurve]
            Notional: 200000
                Name: "FXfuture_instrument"

Create Future Pricer Object

Use finpricer to create a Future pricer object and use the ratecurve object with the DiscountCurve name-value argument.

outPricer = finpricer("Future",DiscountCurve=DomesticRC,SpotPrice=0.79)

outPricer = 
  Future with properties:

    DiscountCurve: [1x1 ratecurve]
        SpotPrice: 0.7900

Price FXFuture Instrument

Use price to compute the price and price result for the FXFuture instrument.

[Price,outPR] = price(outPricer,FXFut)

Price = 
2.1617e+03

outPR = 
  priceresult with properties:

       Results: [1x4 table]
    PricerData: []

outPR.Results

ans=1×4 table
    Price     FairDeliveryPrice    FairFuturePrice    AccruedInterest
    ______    _________________    _______________    _______________

    2161.7       1.5817e+05            0.79084               0       

Price Multiple FXFuture Instruments Using ratecurve and Future Pricer

This example shows the workflow to price multiple FXFuture instruments when you use a ratecurve object and a Future pricing method.

Create ratecurve Objects

Create ratecurve objects using ratecurve for the foreign and domestic zero curves.

% Define Foreign Zero Curve
Settle = datetime(2022, 3, 1);
ForeignZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ForeignZeroRates = [0.0031 0.0035 0.0047 0.0058 0.0062 0.0093 0.0128 0.0182 0.0223 0.0285]';
ForeignZeroDates = Settle + ForeignZeroTimes;
ForeignRC = ratecurve('zero', Settle, ForeignZeroDates, ForeignZeroRates);

% Define Domestic Zero Curve
DomesticZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
DomesticZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
DomesticZeroDates = Settle + DomesticZeroTimes;
DomesticRC = ratecurve('zero', Settle, DomesticZeroDates, DomesticZeroRates);

Create FXFuture Instrument Object

Use fininstrument to create an FXFuture instrument object for three FX Future instruments.

FXFut = fininstrument("FXFuture",Maturity=datetime([2022,9,1 ; 2022,10,1 ; 2022,11,1]),QuotedPrice=[0.78 ; 0.82 ; 0.86],ForeignRateCurve=ForeignRC,Notional=200000,Name=["FXfuture_instrument1";"FXfuture_instrument2";"FXfuture_instrument3"])

FXFut=3×1 FXFuture array with properties:
    Maturity
    QuotedPrice
    ForeignRateCurve
    Notional
    Name

Create Future Pricer Object

Use finpricer to create a Future pricer object and use the ratecurve object with the DiscountCurve name-value argument.

outPricer = finpricer("Future",DiscountCurve=DomesticRC,SpotPrice=0.79)

outPricer = 
  Future with properties:

    DiscountCurve: [1x1 ratecurve]
        SpotPrice: 0.7900

Price FXFuture Instruments

Use price to compute the prices and price results for the FXFuture instrument.

[Price,outPR] = price(outPricer,FXFut)

Price = 3×1
104 ×

    0.2162
   -0.5789
   -1.3732

outPR=1×3 priceresult array with properties:
    Results
    PricerData

outPR.Results

ans=1×4 table
    Price     FairDeliveryPrice    FairFuturePrice    AccruedInterest
    ______    _________________    _______________    _______________

    2161.7       1.5817e+05            0.79084               0       

ans=1×4 table
    Price    FairDeliveryPrice    FairFuturePrice    AccruedInterest
    _____    _________________    _______________    _______________

    -5789       1.5819e+05            0.79097               0       

ans=1×4 table
    Price     FairDeliveryPrice    FairFuturePrice    AccruedInterest
    ______    _________________    _______________    _______________

    -13732       1.5822e+05            0.7911                0       

More About

FXFuture

A FXFuture is an exchange-traded currency derivative contract obligating the buyer and seller to transact at a set price and predetermined time.

An FX future involves two currencies, known as the base currency and the quote currency. The value of the contract is based on the exchange rate between these two currencies. For example, in an EUR/USD FX future, the euro (EUR) is the base currency and the US dollar (USD) is the quote currency.

In the FX futures market, the underlying asset is a currency pair (for example, price in domestic currency for one unit of foreign currency). Both the domestic currency interest rate and the foreign currency interest rate are required to compute the fair delivery price.

$$\begin{array}{l}{F}_0=S_0\exp (r_d-r_f)T\\ FairDeliveryPrice=F_0\times Notional\end{array}$$

• F₀ — Fair future price in domestic currency for one unit of foreign currency

• S₀ — Spot price in domestic currency for one unit of foreign currency

• r_d — Domestic currency continuously compounded zero rate

• r_f — Foreign currency continuously compounded zero rate

• T — Time to maturity of contract

• Notional — Notional value of the contract in foreign currency

There are two workflows.

• The first workflow is to compute the discounted present value of the futures contract using cashsettle assuming it is held until maturity like a forward contract.

  $$f=(F_0-K)\exp (-rT)Size=(F_0-K)\times DiscountFactor\times Size$$

  • F₀ — Fair future price

  • K — Contractual price

  • r — Continuously compounded zero rate

  • T — Time to maturity of contract

• Since futures contracts are settled on every trading day, the second workflow is to use fairdelivery to compute the current fair delivery price of the futures contract to support marking to market.

  $$MarkToMarket=(ChangeinFuturePrice\text{)}\times \text{(}ContractSize\text{)}$$

Version History

Introduced in R2022a

R2022b: Serial date numbers not recommended

Although FXFuture supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.