FX SWAP valuation - need help

[ravic]

Hi Guys,
I need your help with FX SWAP (I LEG buy/sell currency spot; II LEG sell/buy currency forward) valuation. The FX SWAP has following legs:
I LEG – SPOT LEG

• I sell a currency EUR
• Notional Amount = 5 000 000 EUR
• Spot Date = 10 May 2016
• Spot Rate = 4,412 PLN for 1 EUR (4, 412 PLN / 1 EUR)

II LEG – FORWARD LEG

• I buy a currency EUR
• Notional Amount = 5 000 000 EUR
• Forward Date (Maturity Date) = 10 June 2016
• Forward Rate = 4,41915 PLN for 1 EUR (4,41915 PLN / 1 EUR)

I need a value of the FX SWAP contract on 12 May 2016 in PLN. All necessary parameters are below:

• Spot Rate (Market Rate) on 12 May 2016 = 4,4275 PLN for 1 EUR (4,4275 PLN / 1 EUR)
• Discount factor on 12 May 2016 for EUR = 1,000000
• Discount factor on 12 May 2016 for PLN = 0,998667
• Forward points are counted linearly = ((4,41915 - 4,412) / 31 days) * 5 000 000) = 1 153,23 for each day (discounting not necessary)

How should I value the FX SWAP on the date? How should I take account of forward points in valuation?

 

[defacto]

I think you need the forward quote as of May 12 to be able to calculate the value.

 

[bertran75]

I think you can use the formula, Value to the long side to calculate it.