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adam_strakna avatar image
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How is default start date determined for FxForward request?

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

rdp-apirefinitiv-data-platformforex
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2 Answers

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samuel.schwalm avatar image
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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

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chavalit-jintamalit avatar image
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Hi @adam_strakna

What API you are using?

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adam_strakna avatar image adam_strakna

I am probably in the wrong forum but the API is https://api.edp.thomsonreuters.com/data/quantitative-analytics/v1/financial-contracts.

chavalit-jintamalit avatar image chavalit-jintamalit adam_strakna

Hi @adam_strakna

I moved the question to "Refinitiv Data Platform" forum.