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Foreign Exchange
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Re: How to represent cross rate components
Jay Hurley / Morgan Stanley <>
18 Jun 2008 11:21PM ET> I have a requirement where it is necessary to include cross components
> with a cross trade. For example a forward/forward swap that is a cross
> has six cross components (two spot and 4 forward) in addition to the
> spot and two forward components for the traded cross.
>
> So far I've stuggled to see how to represent this without customisation.
>
> Has anyone any ideas?
>
> Thanks in advance
>
> Rob
So you are trying to do something like buy and sell EUR/CHF which would have two legs, near and far EUR/CHF, but on those legs would have the EUR/USD and USD/CHF prices and quantities as well as EUR/CHF?
Currently there is no way to represent both EUR/CHF and the EUR/USD and USD/CHF components in a single message, you would have to make a choice to go with either the traded cross or synthetic leg information.
This is something that we could look to add if there is demand for it although it could get complex in the case of something like AUD/SEK where, if we are limited to two components then they would be AUD/USD and USD/SEK, however, SEK is normally traded as EUR/SEK on interbank platforms so the components could be AUD/USD, EUR/USD and USD/SEK which would need an n-component repeating group.
Regards,
Jay
Re: How to represent cross rate components
Jay Hurley / Morgan Stanley 18 Jun 2008 11:21PM ET
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