## Retrieval of Spot and Non-Spot Market Exchange Rates (Refinitiv Eikon)

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**Canonical URL:** [Retrieval of Spot and Non-Spot Market Exchange Rates (Refinitiv Eikon)](https://www.imf.org/-/media/files/publications/pp/2023/english/ppea2023058-s001.pdf)

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### I. Spot Transactions — Retrieval Steps and Automated Outputs
- Steps to enable Refinitiv Eikon in Excel:
  - Open Excel and click Add-ins.
  - Click “Excel Add-ins”, then select “Refinitiv Eikon Datastream Excel Formulas” and “Refinitiv Excel Formulas” and click OK.
  - Click Add-in, select “Com Add-ins, select Refinitiv Eikon - Microsoft Office.” Click OK.
  - Refinitiv Eikon add-in should show up in your Add-ins.
  - Click Refinitiv Eikon, click Sign In and enter your account information to log in.
  - If you log in successfully, the Online tab should show up.
- Using the MCP Assessment Test – Eikon Excel file (Spot tab):
  - Enter the currency code (RIC) in cell B2 (RICs use ISO 4217 codes; example: “ALL” for US Dollar/Albanian Lek).
  - Select the time zone in cell B3 to reflect the country’s local time (example: GMT +1:00 Tirana).
  - The start and end date will automatically set to be done 12 months backwards from t-1 date.
  - The file will automatically refresh the Ht and Lt wholesale spot market rate in the Spot tab (columns B and C respectively).
  - The MidH/L and the +/- 2% tolerance margin will automatically populate once the Ht and Lt have been retrieved (columns F, G, and H respectively).

### II. Non-Spot Transactions — Overview and Retrieval by Instrument
- General:
  - Retrieval of non-spot data follows similar inputs and workflow as spot rates using the Non-Spot tab.
  - If benchmark provider data are unavailable, staff can calculate theoretical prices (see Theoretical Calculators section).
- A. Forwards — Retrieval and RIC construction:
  - On Non-Spot tab: enter currency code in cell A6, tenor in cell A9 (e.g., 1M, 6M, 1Y), and ‘V’ in cell A12. Cell A25 concatenates inputs to create the RIC.
  - Example: for a one-month US Dollar/Iceland Krona forward, enter ISK in A6; 1M in A9; V in A12 (Cell A25 will produce the RIC).
  - Alternatively, use “Custom Search” via drop-down in A3 and type your RIC in cell A28.
  - Select time zone in cell A21 (example: GMT +0:00 Rekyjavik).
  - The start and end date alongside Ht, Lt, and MidH/L (and +/-2% tolerance margin) will automatically populate.
  - Note: If Refinitiv Eikon does not provide a forward outright, staff can calculate a forward outright price by adding the spot exchange rate + forward swap points.
  - Forward swap points RIC: enter currency code in A6, tenor in A9, leave A12 blank (example: “ISK1M” appears in A25 for US dollar/Iceland Krona 1M Forward Swap Points).
- B. Non-Deliverable Forwards (NDFs):
  - NDFs arising from official action are generally not assessed; only assessed if sufficiently closely related to an actual exchange transaction.
  - Retrieval procedure mirrors FX forward: enter currency code in A6, tenor in A9, and ‘NDFOR’ in A12 (or use custom search in A28).
  - Example: one-month US Dollar/Brazilian Real NDF would appear as “BRL1MNDFOR=” in cell A25.
  - After time zone adjustment, start/end dates and Ht, Lt, MidH/L (and +/-2% tolerance margin) auto-populate.

### III. Options — Market Data, Theoretical Pricing, and Calculator Use
- Market data:
  - Refinitiv Eikon carries FX options data but contracts are often bespoke; assessments may rely primarily on theoretical calculations.
  - Standard ticker: currency code + length of contract + implied volatility. Excel file provides standard volatilities in cells A35 – A39 in the Non-Spot tab.
  - Example: US Dollar/Brazilian Real 1 Month at the Money Option: select ‘O’ in A12 (or custom search); cell A25 presented as “BRL1MO=”.
- Using Refinitiv Eikon FX Options Calculator (FXOC):
  - Access via Refinitiv Eikon homepage: search “Calc” → select “CALC Eikon Calculators” → open “FX Options Calculator – FXOC” under “OPTIONS”.
  - Calculator parameters and workflow:
    - Asset: currency pair and spot rate (auto-populates with ask high and bid low); refresh to update.
    - Option Terms: Deal type (buy/sell), tenor, style (European, American), call/put, strike price, notional value.
    - Market Data: At the money volatility, risk reversal, butterfly spread, forward rates/points, deposit rate.
    - Pricing: default model uses Black-Scholes; outputs include premium (in currency of interest), premium price, premium date (spot/forward), delta (spot/forward), delta notional, Vega.
    - All Greeks: Gamma, Theta, Vanna, Volga, Rho adjustable.
    - Use “Solve for” to (1) select a field to be solved and (2) a field to be the target.
    - For MCP assessment, R should remain within the theoretical option price (strike rate plus option premium).
  - Procedure to record results: input strike rate and option premium in Theoretical Non-Spot Options tab of the MCP Assessment Monitoring Tool (columns B and C respectively).

### IV. Theoretical Calculations — Forwards and Options, Tests and Tolerance
- Theoretical forward rate principle:
  - The theoretical forward exchange rate can be computed by adding the difference between the domestic and foreign interest rate for the maturity of the forward to the spot wholesale market exchange rate.
  - The Monitoring Tool provides a Theoretical Non-Spot – Forwards tab which takes spot Ht and Lt and the mid yield of domestic and foreign interest rates to create a theoretical forward.
- Covered interest parity test and MCP tolerance:
  - MCP condition to avoid an MCP:
    - Tt – 2% ≤ Rt ≤ Tt + 2%
      - R is the official rate arising from official action settling at more than t+2
      - T is the exchange rate calculated using a theoretical model
      - t is a given trading day
  - At contract inception, the exchange rate arising from official action must remain in the tolerance buffer of the theoretical price; an MCP arises whenever the forward exchange rate is not within the tolerance buffer.
- Calculating theoretical forward via covered interest parity (conceptual):
  - Use domestic interest rate (i), foreign interest rate (i*), and spot rate (S) prevailing on the day of transaction.
  - The Monitoring Tool example workflow for a five-year USD/INR forward:
    - Open MCP Assessment Test – Eikon Excel file → Theoretical Non-Spot -Forwards tab → enter “INR” in cell B2.
    - Enter domestic interest rate and maturity in cell D4 (example: “US5YT=RR” for United States 5 Year Benchmark).
    - Enter foreign interest rate and maturity in cell E4 (example: “IN5YT=RR” for India 5 Year Benchmark).
    - Note: Once interest rates are retrieved, users may need to divide both domestic and foreign interest rate time series in columns D and E by 100 to convert values into percentage.
    - After time zone adjustment, using prevailing USD/INR Spot Rate, the MidH/L and the +/-2% tolerance margin theoretical forward exchange rate for a 5-year maturity will populate in columns G, H, and I respectively.
- Linear interpolation for missing benchmark yields:
  - When benchmark yields are not available for the exact tenor, interpolate between two available yields.
  - Example to estimate Sri Lanka Generic Govt 8 Year yield (unknown Rn) using 6-year (R1) and 10-year (R2):
    - Today’s date: January 01, 2019.
    - Maturity date of unknown rate: January 01, 2027. Days to maturity of unknown rate: 2,922.
    - Today’s 6-year Sri Lanka Generic Government Yield (R1): 11.58%. Maturity date of R1: January 01, 2025.
    - Days to maturity of R1 (t1): 2,192.
    - Today’s 10-year Sri Lanka Generic Government Yield (R2): 11.8%. Maturity Date of R2: January 01, 2029.
    - Days to maturity of R2 (t2): 3,653.
  - Linear interpolation assumes Rn lies on the straight line between R1 and R2; solve for Rn using the “rise over run” formula (slope equality).
- Options theoretical pricing test:
  - Similar MCP tolerance applies for options:
    - T – 2% ≤ R ≤ T + 2%
      - R is the price at which the central bank transacts or instructs to transact (i.e., the option price)
      - T is the theoretical price of the option, calculated according to an option pricing model (e.g., Black-Scholes model)
  - In absence of implied volatility, use historical volatility based on prices formed in the domestic market and local interest rates based on actual cost of funding for relevant maturities.

*Source: Online Manual — Retrieval of Spot and Non-Spot Market Exchange Rates (Refinitiv Eikon), ppea2023058-s001*

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_Source: https://www.imf.org/-/media/files/publications/pp/2023/english/ppea2023058-s001.pdf_