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Foreign Exchange
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Re: How to represent cross rate components
Rob McConnell / Eurobase
20 Jun 2008 4:29AM ETThanks for the response.
Yes you are correct. Actaully I should perhaps have said we are interested in modelling this in TradeCaptureReports where the inclusion of more esoteric data is useful because we intend to use for bank to bank or intra bank systems.
I think this needs to be an enumeration regardless of whether the cross is via a third pair or not because spot components are not included for the far leg, so a TOM/NXT results in a different number of cross components to a FORWARD/FORWARD. Also avoids the clutter of all those specialised component names.
Incidentally I assume your more complex example should have been AUD/USD, EUR/USD and EUR/SEK rather than USD/SEK?
For the record we are considering going with an enumeration of . So modelled in FIXML we get an Enumeration of
Where the CFI gives us a notion of SPOT or forward.
Regards
Rob
Re: How to represent cross rate components
Rob McConnell / Eurobase 20 Jun 2008 4:29AM ET
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