How do I subscribe to broken date FX forwards in IDN_SELECTFEED or IDN_RDF

duncan.kerr1
duncan.kerr1 Newcomer
in TREP APIs

I need to know how to find out RICs for forwards on a date, or IMM dates. So EURCAD 3month forward would be EURCAD3M=. How do I subscribe to The EURCAD rate for an arbitrary broken date, eg19 July 2019?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    FX forward rates for arbitrary broken dates are not available from Refinitiv Elektron datafeed providing streaming market data. To get FX forward rate for an arbitrary broken date your application needs to retrieve forward rates for standard periods and interpolate on the broken date.

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