NCFX Forwards365 from New Change FX is a new zero-interpolation live stream for swap points, so-called after its key feature of each broken date being individually calculated, rather than relying on interpolation of other points to arrive at a value.
The new NCFX Forwards365 stream provides mid rates for all dates out to one year in the stream, rather than just standard tenors – a move that the firm believes is an important step for the FX markets, enabling electronic pricing and trading of non-standard tenors and spreads.
Special dates and non-standard tenors are also calculated from the perspective of the market-maker, rather than using interpolation. This reflects an accurate view of pricing from the market-maker’s point of view, meaning that all users can understand pricing in real time.
For traders, this provides an accurate view of where the neutral price for a given tenor is trading to triangulate with their own view of the price and their inventory.
As a live service, users can connect to data via FiX or call the New Change FX RestAPI where live or specific data is required for trading or modelling. Data can also be seen in real-time curves via the New Change FX user screens. The NCFX Forwards Database gives access to granular historical data for both market pricing and behaviour around turns and for basis.
“It has been a long and complex process to systematise the construction of accurate curves without using any interpolation, but the result is superb,” said New Change FX CEO Paul Lambert. “Users can be sure that each point that they need to find a value for is individually calculated rather than being subject to what is inherently guesswork when using interpolation. This, coupled with the fact that users can stream 365 days of data rather than having to calculate each point will deliver significant change to the electronification of the swaps market”.
In addition to the NCFX Forwards365 service, New Change FX will shortly be releasing a live basis stream, Basis365. NCFX Forwards365 streams all business for the next 12 months of information and not just key dates.
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