fx-forward-math

July 11, 2026 · View on GitHub

FX trading conventions math — forward points ↔ outright forwards, cross-rate derivation, triangular-arbitrage checks, pip / big-figure handling, and pip value. Zero dependencies.

npm install fx-forward-math

Why

currency.js and dinero.js handle consumer money — formatting and allocation. Neither knows what a pip is, how to turn forward points into an outright, or how to derive a cross rate. That's the arithmetic an FX desk actually uses, and npm had no library for it.

import { outrightForward, crossRate, triangularArbitrage } from "fx-forward-math";

// 25 forward points on EUR/USD (pip = 0.0001):
outrightForward("EUR/USD", 1.0850, 25);    // 1.0875
// −40 points on USD/JPY (pip = 0.01):
outrightForward("USD/JPY", 156.20, -40);   // 155.80

// EUR/JPY implied from the two USD legs:
crossRate("EUR/USD", 1.0850, "USD/JPY", 156.20);  // 169.477

triangularArbitrage("EUR/USD", 1.0850, "USD/JPY", 156.20, "EUR/JPY", 169.60);
// { impliedCross: 169.477, differencePips: 12.3, arbitrageFree: false }

API

Pairs are "BASE/QUOTE"; the rate is how many QUOTE units one BASE unit buys. Pip size is inferred from the quote currency (JPY-quoted pairs → 0.01, most others → 0.0001) and overridable everywhere.

  • outrightForward(pair, spot, forwardPoints) / forwardPoints(pair, spot, outright) — convert both ways.
  • crossRate(pairA, rateA, pairB, rateB) — derive the cross from two legs sharing a currency; returns the rate of A's non-shared currency / B's non-shared currency (any leg orientation).
  • triangularArbitrage(legA, rA, legB, rB, crossPair, crossQuote, tolerancePips?) — implied vs quoted cross and whether they agree.
  • pipValueQuote(pair, notional) / pipValueBase(pair, notional, rate) — value of one pip.
  • splitRate(pair, rate) → { bigFigure, pips }; roundToPip(pair, rate); pipSize, pipDecimals, parsePair.

All rates must be positive and finite, else RangeError.

Pairs with fx-value-date (settlement dates). Part of a fixed-income & markets toolkit: 32nds · day-count · newyorkfed · instrument-identifiers.

Author

Built by Moshe Malka — engineering leader in New York City. Studio work at Quentin.Code.

MIT © Moshe Malka