> For the complete documentation index, see [llms.txt](https://opusdigital.gitbook.io/docs/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://opusdigital.gitbook.io/docs/opusdigital-ecosystem/opusamm/forward-curve-construction.md).

# 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:  

$$
df\_T=\frac{1}{1+rT}
$$