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Foreign Exchange
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Re: How to represent base price for currency swap
Oksana Zheliabina / B2BITS <>
29 Jul 2008 1:14PM ETHi Jay!
> The FX committee like all FIX committees is driven by industry
> practice and demand. At least at the time, there was no demand for
> streaming swap prices. Typically the RFQ model is used for this
> product so the fields that you need are missing from market data
> because the analysis was not done. Perhaps you could explain a bit
> more about the business driver for streaming swaps.
Currently we need to distribute statistical information about swap products (like BBO, Last, High, Low, etc.). We do not need to stream swap prices.
My main question is the following:
What is standard practice in distribution swap prices?
Is this correct to distribute price as difference between rate of near leg and far leg?
If yes, what is correct way to represent base swap price (rate of near leg) in FIX?
Thank you.
Re: How to represent base price for currency swap
Oksana Zheliabina / B2BITS 29 Jul 2008 1:14PM ET
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