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How to use IMM swaps--
To convert a futures price to an interbank (spot or cash) price, do the
following (note: futures prices are usually quoted without decimals).
Example: jyh = .008458, swap -1.60
Calculate the spot rate: (1/.008458) - (-1.60) = $/yen 119.83
CONTRACT: DEC /18 Oct 99 SWAPS/ USD/JPY -.876
JY Z9 9613 = $ypy 104.90179
----- Original Message -----
From: <Canyon678@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, October 18, 1999 12:13 PM
Subject: JY Z9 to FX
> The Japanese yen is currently quoted at 0.9613.
> How do I convert this rate to the exchange rate of $1 to Yen 106 .
> Thanks
> Mike
>
>
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