Adding an FX Rate
FX Rate Attributes Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Base Ccy | The FX rate’s base currency. 3-letter ISO 4217 currency code. | Any currency in FX Cat A and FX Cat B |
| Counter Ccy | The FX rate’s counter currency. 3-letter ISO 4217 currency code. | See FX Rate Rule |
FX Rate Rule
Permissible currency values can be split into the two categories:
- Major currency category (FX Cat A)
- Other currency category (FX Cat B)
Major Currency Category (Cat A)
| FX Cat A | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| XAU | EUR | GBP | AUD | NZD | USD | CAD | CHF | JPY | SGD |
Other Currency Category (Cat B)
| FX Cat B | |||||||
|---|---|---|---|---|---|---|---|
| AED | CNY | HRK | KRW | OMR | RUB | TWD | |
| ARS | COP | HUF | KWD | PHP | SAR | UGX | |
| BRL | CZK | IDR | MXN | PLN | SEK | ZAR | |
| CLP | DKK | ILS | MYR | QAR | THB | ||
| CNH | HKD | INR | NOK | RON | TRY | ||
The major currencies in FX Cat A will define the “pecking” order to determine Base Ccy and Counter Ccy as follows:
XAU > EUR > GBP > AUD > NZD > USD > CAD > CHF > JPY > SGD > all currencies in FX Cat B
For instance, EUR will always be the Base Ccy and so will GBP except for EURGBP. In other words, if Base Ccy is in FX Cat A, then permissible values for Foreign Ccy will be all other subsequent items in FX Cat A and all items in FX Cat B. If Base Ccy is in FX Cat B then permissible values for Foreign Ccy will be all other subsequent items in FX Cat B (in lexicographical order).FX Swaps and XCCY Curves
FxSwaps can be added as nodes in XCCY Curves, as well as other XCCY node conventions. The naming of XCCY curves follows the FX Rate Rule above.
