How is default start date determined for FxForward request?

adam_strakna
adam_strakna Newcomer
in Refinitiv Data Platform

We have users requesting fxSpot values using today's date as the end/maturity date. Typical request looks like this:

{

"instrumentDefinition": {

"fxCrossType": "FxForward",

"fxCrossCode": "USDMYR",

"legs": [

{

"endDate": "2020-06-17T00:00:00"

}

]

},

"instrumentType": "FxCross"

}


We are seeing this error: The calculated EndDate : 06/17/2020 cannot be prior to the StartDate : 06/19/2020, please modify the input dates or tenors accordingly.

It looks like the default startDate is always the non-USD currency's local time + 1 day. Is that correct? Does it make sense to provide a startDate?

Thanks.

Adam

Tagged:

Best Answer

  • samuel.schwalm
    samuel.schwalm LSEG
    Answer ✓

    Hello Adam,

    by default the startDate of the Forward will be Spot and will be computed from the valuationDate which by default is today. In your example the calculated startDate is 19th . if you want to compute an Overnight rate, I suggest that you define directly the startDate in your leg.


    {

    "instrumentDefinition": {

    "fxCrossType": "FxForward",

    "fxCrossCode": "USDMYR",

    "legs": [

    {

    "startDate':"2020-06-16T00:00:00",

    "endDate": "2020-06-17T00:00:00"

    }

    ]

    },

    "instrumentType": "FxCross"

    }


    Alternatively you can define a valuationDate in the past.


    I hope this helps

    Samuel

Answers

Categories