fx-value-date

FX settlement / value-date calculation — spot (T+2 / T+1), tom, and forward tenors across two currency holiday calendars, with the USD intermediate-day rule, modified-following adjustment, and the end-of-month rule. Zero dependencies.

npm install fx-value-date

Why

An FX trade settles not "two days later" but two good business days later — where "good" depends on the holiday calendars of both currencies (and, for a cross, of USD). Then forward tenors roll from spot with the modified-following and end-of-month conventions. No npm package encoded these FX-specific settlement rules. This one does — and stays dependency-free by letting you inject each currency's holiday calendar.

import { spotValueDate, forwardValueDate, calendarFromDates } from "fx-value-date";

const usd = calendarFromDates(["2026-07-03", "2026-12-25"]); // US holidays (weekday)
const eur = calendarFromDates(["2026-05-01", "2026-12-25"]);

// T+2 that would land on US Independence Day rolls forward:
spotValueDate({ pair: "EUR/USD", tradeDate: "2026-07-01", base: eur, quote: usd });
// "2026-07-06"

forwardValueDate({ pair: "EUR/USD", tradeDate: "2026-04-28", tenor: "1M", base: eur, quote: usd });
// end-of-month rule + modified-following

API

Dates are "YYYY-MM-DD". You supply holiday calendars as (isoDate) => boolean predicates — weekends are handled internally, so a calendar need only flag weekday holidays. calendarFromDates(dates) builds one from a list/Set.

• spotValueDate({ pair, tradeDate, base, quote, usd?, spotLag? }) — the spot value date. spotLag defaults to 1 for T+1 pairs (USD/CAD, USD/TRY, …) and 2 otherwise. For a non-USD cross, pass usd to apply the intermediate-day rule (the T+1 day must be USD-good).
• tomValueDate(...) — T+1 value date.
• forwardValueDate({ ..., tenor }) — value date for a tenor measured from spot: "1W", "3M", "1Y", or the short dates "ON" / "TN" / "SN". Month/year tenors apply the end-of-month rule; all adjust modified-following on both calendars.
• adjust(date, base, quote, convention?) — business-day adjustment (following, modified-following, preceding, modified-preceding).
• spotLag(pair) — 1 or 2; calendarFromDates(dates) — build a calendar.

Malformed pairs/dates throw RangeError.

Related

Pairs with fx-forward-math (forward points, cross-rates). The equity/bond-market date counterparts are us-equity-market-calendar and sifma-holidays. Part of a markets toolkit alongside day-count and newyorkfed.

Author

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

MIT © Moshe Malka