Suppose that they both agree on the sale price in one year's time of $104,000 (more below on why the sale price should be this amount). An unusual value date. Pricing: The "forward rate" or the price of an outright forward contract is … broken date: A trading date in a forward or money market contract that is outside the standard maturity date. Such postponement of the date of delivery under a forward contract is known as the extension of forward contract. Also known as odd date. A broken date, then, may be a value date 13 days after the trade date. However, if the contract has a broken date, it might mature on, June 28 or July 2. For example, a forward contract to buy U.S. dollars 54 days in the future is said to have a broken date. FX forward contracts are transactions in which agree to exchange a specified amount of different currencies at some future date, with the exchange rate being set at the time the contract is entered into. Bob, because he is buying the underlying, is said to have entered a long forward contract. Standard periods are one week, two weeks, one month, six months etc. This chapter discusses the pricing of broken‐dated contracts, which are forward contracts with maturity other than the normal market quote of complete months. Likewise, its maturity could be in, say, 5 weeks when the typical date is 12 weeks. For example, let's assume that a futures contract for shares of Company XYZ is three months long and is issued on April 1. Broken Date: A term used to describe forward and money market contracts, with delivery of currency and CDS, which takes place on a nonstandard date. It shall be cancelled and rebooked for the new delivery period at the prevailing exchange rates. For example, a normal 3-month contract would be from June 15 to August 15. The date to enter into the contract is called the "trade date", and its settlement date will occur few business days later. On the fixing date, the difference between the forward rate and the prevailing spot rate are subtracted resulting in the net amount which has to be paid by one party to the other as settlement of the NDF on the value (delivery) date. When a forward contract is sought to be extended. A value date is the delivery date in a eurocurrency or foreign exchange transaction and is usually a standard period such as one week or one month. Short Date Forward: A forward exchange contract involving two parties that agree upon a set price to sell/buy an asset at a dated time in the future. Conversely, Andy will have the short forward contract. 2. Andy and Bob have entered into a forward contract. Maturity on August 10 would be considered a broken date. To price a broken‐dated contract, it is necessary to interpolate between the two standard date quotations on either side of the desired maturity. The regular maturity date would be 90 days later on July 1. Introduction.