Forward curve construction

Yield curve and forward curve construction (i.e., cross currency yields) are needed to discount the term (CCY1) and base (CCY2) currencies. Interpolations are performed on continuously compounded zero coupon rates which are themselves calculated from given US deposit rates and forward points. These continuously compounded zero coupon rates are converted back into deposit rates and forward points.

Discount factors are calculated from the deposit rates according to the following formula:

$$df_T=\frac{1}{1+rT}$$