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Broken date

A forward value date that does not fall on a standard tenor, priced by interpolating between the surrounding standard dates.

Banks quote standard tenors: one week, one month, three months, one year. A company whose payment falls on 17 October does not care about standard tenors, so the dealer interpolates the forward-points between the two nearest dates and adds a little for the inconvenience.

Broken dates carry marginally wider spreads and matter mainly to corporate hedgers matching an invoice exactly. Matching the hedge to the real cash flow date avoids a residual gap that would need rolling later.

Example: one-month points are plus 18 and two-month points plus 37. A 43-day date interpolates to roughly 18 + (37 - 18) x (43 - 30) / (61 - 30) = 26 points above spot.

Related: value-date, fx-forward, forward-points

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