Non-deliverable forward (NDF)
Value an FX forward settled by a difference in USD. The fixing date determines final P&L; the settlement date serves a different purpose.
How it works
The selected convention defines the currency pair, fixing reference and joint calendar. Buy means buy USD against the other currency. The contractual rate is expressed as units of that currency per USD, while the notional and resulting value are in USD.
Key contract terms
- Enabled NDF convention
- USD notional and buy/sell direction
- Contractual rate
- Trade and fixing dates
- Later USD settlement date
Payoff: the contractual result
For a purchase, final P&L = USD notional × (fixing − contract rate) / fixing. A sale reverses the sign. Before fixing, valuation uses the forward rate for the fixing date in that formula and discounts to the settlement date in USD.
A simple example
For a USD 100,000 purchase, a contract rate of 5.00 and fixing of 5.20 give 100,000 × 0.20 / 5.20 = USD 3,846.15, rounded to cents. This is finalized P&L, not confirmation of receipt.
Illustrative amounts exclude fees and currency conversion. A payoff is distinct from the instrument's value before maturity.
Lifecycle
- Contract created
- Open exposure
- Contractual fixing
- Final result once data is confirmed
- Choose the convention, notional, contractual rate, fixing date and settlement date.
- The contract has one terminal fixing, not successive partial fixings. An authorized manual fixing may be recorded for that contract when permitted.
- The exact fixing determines the whole contract result. Its correction or cancellation is a revision of that observation, not a second fixing of additional quantity.
- Valuation finalizes the result at fixing once the required data is available. The later settlement date does not keep an open receivable in the application.
Using this instrument in OTCValue
Only enabled conventions with suitable market data are usable. Manual fixings are scoped to one contract and retain a correction/cancellation history. The application does not track the receivable between fixing and payment, and finalization does not certify settlement.