FpML Issues Tracker
closed
Minor
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Coding Scheme
ggurden
mgratacos
Summary
Add "THB.ABS/THB01" code to settlement-rate-option scheme. Note this hasn't been published so far in a Supplements to Annex A of the 1998 FX and Currency Option Definitions but this Reuters page is used today on non-deliverable THB interest rate swaps. As an example of its definition search for THB in the following doc http://www.fisn.com/Disclosure/HSBC%20Corp%20Commodity%20Basket%20Note%205Yrs%2011-24-06.pdf
The scheme code description would be:
The Spot Rate for a Rate Calculation Date will be the Thai Baht/U.S. Dollar spot rate at 11:00 a.m., Singapore time, expressed as the amount of Thai Bhaht per one U.S. Dollar, for settlement in two Business Days, reported by the Association of Banks in Singapore which appears on the Reuters Screen ABSIRFIX01 Page to the right of the caption "Spot" under the column "IDR" at approximately 11:30 a.m., Singapore time, on that Rate Calculation Date.
Notes:
ggurden
11/21/06 7:09 pm
There was a typo in my description. The reference to IDR should have been THB. So the correct description is:
The Spot Rate for a Rate Calculation Date will be the Thai Baht/U.S. Dollar spot rate at 11:00 a.m., Singapore time, expressed as the amount of Thai Bhaht per one U.S. Dollar, for settlement in two Business Days, reported by the Association of Banks in Singapore which appears on the Reuters Screen ABSIRFIX01 Page to the right of the caption “Spot” under the column “THB” at approximately 11:30 a.m., Singapore time, on that Rate Calculation Date.
mgratacos
11/29/06 7:24 am
The code has been added and the updated description has been used. It will be published in the next release of FpML.