NDF settlement rate option

[garyjkennedy]

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

[iyermakova]

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

[iyermakova]

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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