question

Upvotes
Accepted
2 2 4 7

FX swap rates

Dear all

We are using Reuters feed to get the FX swaps. Now there are various RICs like O/N, T/N, S/N and then Week, 2 Week and so on.

What should be the terms (no. of days) associated with O/N, T/N and S/N? In our system, we can have only 1 term associated with 1 RIC.

Thanks a lot

Pankaj

swaps
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
Accepted
895 3 8 3

Hi,

Yes correct AUDSN= is for spot next, which means starting in two days time, and maturing the next day. If you are after one day before spot settlement of T+2 it will be the overnight rate I think you are after. The RIC code for that is AUDON= the terms of this are starting today and maturing tomorrow - with spot the next day after that.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
895 3 8 3

Hi,

Do you have an example RIC you are using for an FX swap or are you asking for the FX Forward terms? for example we have FX Forward RICs that also have some value add information eg 0#GBPF= provides you the daycount and the start and maturity. Not sure if this is what you are after here?

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
2 2 4 7

Hi

We want to create a forward curve including pre-spot points considering spot is t+2.

e.g. AUDSN= is spot next which is next day of spot. What would be the RIC code for swap 1 day before spot.

Thanks

Pankaj

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.