Here is a quick method of calculating the correct outright price.
Remember it!
- Decide on the spot rate required
- Reverse both the side of market and the plus or minus sign on the swap
In the earlier example, spot was 1.3791 (bid side). The offer side of the swap was minus 0.0260.
To achieve the outright price, change the minus sign to a plus and add it to the spot rate.
The tom/next outright price is:
1.3791 + 0.0260 × 0.0001 = 1.3791026.
The Market for Short-Dated Swaps and Outrights