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This topic has 2 replies, 2 voices, and was last updated 12 years, 4 months ago by iyermakova.

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June 19, 2012 at 8:37 am #2043

garyjkennedy
Spectator

for a non-deliverable forward there is usually a settlement rate option specified, for example, CLP DLAR OBS (CLP10) in the case of Chilean Peso. I cannot see an obvious field for this in FXSingleLeg->NonDeliverableSettlement. Could someone advise a little on this. Below is a link to a template of CLP NDF from EMTA. Gary http://www.emta.org/uploadedFiles/Documentation/Documents/fx-deriv-documentation/CLP_NDO_Template_Terms.pdf?n=335

June 21, 2012 at 11:28 am #2044

iyermakova
Spectator

Hello Gary, It looks like the ability to specify an actual settlement rate option in the rateSource field for FX non-deliverable forward and option has been lost. I have opened the issue (see – http://www.fpml.org/issues/view.php?id=1127 ) with the FpML FX Working Group. It is currently under review and will be discussed on their next week call. Thank you, Irina Yermakova

July 3, 2012 at 9:18 am #2049

iyermakova
Spectator

Hello Gary, The FX WG reviewed the requirements outlined in the EMTA template and concluded that they will be fulfilled by the long form representation which is expected to be introduced in FpML version 5.4. Regards, Irina Yermakova
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