dealtCurrency in fxSwap

[roma]

Hi all,
Can you please give me advise how to use dealtCurrency element in fxSwap. Should i use it in both nearLeg and farLeg? If i use it in both legs is it ok to set different values (exmpl. ‘ExchangedCurrency1’ for nearLeg and ‘ExchangedCurrency2’ for farLeg)? (of course i mean the different values will be linked to the same currency)
Thank you.

[h_mcallister]

Hi Roma,

dealtCurrency is an optional extension to the FxSingleLeg model, allowing the message producer to express their view on which is the “dealt” currency in an FX Spot/Forward trade. The element takes enumerated values (ExchangedCurrency1, ExchangedCurrency2), so as to restrict the choice to the currencies exchanged in the trade.

As far as the concept is relevant to a FX Swap, then I agree that the values on the near and far legs would be inverted with respect to each other, so as to reference the *same* currency on each leg.

As far as I am aware, no official guidance was published on the use of dealtCurrency in Fx Swaps – this may be an omission in the specification.

Best regards,
Harry

[roma]

Thank you, Harry

[Author]

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