Bloomberg Ticker for FX Futures Interest Rates

[edgetrading]

I'm trying to manually calculate the fair value of the CME futures on:

MXN
ZAR
RUB

What is the bloomberg ticker for the rates I should be using? There are no fixings from the BBAM page.

 

[gooseman]

use btmm

 

[GammaJammer]

do you want rates tickers or fx futures tickers?

btw did som scratching around and DRA1 <CURNCY> GO gives you Joburg usdzar generic front month fut by looks of things. If you want the actual contracts there only seem to be two a year - March and Sep. So I think we're just rolling onto March now.

 

[gooseman]

i'm in unknown territory here (FX) but assuming he wants money market curves to work out forward/futures rates.

 

[GammaJammer]

reading the question again you're right goose. And agree BTMM a good source.

 

[edgetrading]

Thanks for the help guys.

I'm just trying to work out the relationship between spot and futures prices directly. Basically I'm backtesting some carry trades, but will only have access to futures when I trade. So I'm working out how much I'd earn/pay against the spot price, through holding futures.