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Foreign Exchange
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Re: How to represent base price for currency swap
Franck MIKULECZ / BAXTER Financial Services Ltd. <>
29 Jul 2008 7:46PM ETNo one we know distributes swap prices like a market in itself (please enlighten us if wrong !).
That said, I see no reason why not. See below...
> > 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.
BBO (Best Bid-Offer ?) is not statistic, but market data (= stream if continuous).
> 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?
Yes, this is correct. Swap price = Farleg - Nearleg
> If yes, what is correct
> way to represent base swap price (rate of near leg) in FIX?
I don't understand fully the question.
In the case of a "Forward-Forward" (near leg is NOT spot), it would still be interesting to have a Spot reference.
If you quoted only the difference (far - near) and a Spot ref it would be sufficient. If you added the individual leg swap points it would be overkill but very good.
Can you clarify again ?
Re: How to represent base price for currency swap
Franck MIKULECZ / BAXTER Financial Services Ltd. 29 Jul 2008 7:46PM ET
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