Can someone please let me know how the the forex swap points are calculated from AT15 table in TPM60?
Example: I have a FX contract between X and Y currency with a value date of Dec 26th. I run the TPM60 with a key date valuation of Nov 30th. Suppose we use a work day calendar.
I have the following most recent AT15 rates available for these two currencies:
From currency To Currency Term Rate
X Y 1 A
X Y 7 B
X Y 15 C
X Y 31 D
Would the rate from all these terms would be taken during calculation?
Thank you!