Are you looking to compute the outrights given the pts and spot that is straightforward ? Perhaps you are looking to impute the pts given a set of other market instruments (futures , swaps etc?) Unfortunately this is non trivial and you are unlikely to find the exact recipe( it also is institution specific) You can however get bbg composite points on FRD <go> there is also a ubs page on reuters that has streaming points. hth On Nov 30, 2010, at 6:26 PM, Werner Erselina <w.erselina at gmail.com> wrote:
Dear R-sig-finance list, I was wondering if there are any packages for calculating FX forward outrights and swaps prices? Kind regards, Werner Erselina [[alternative HTML version deleted]]
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