FpML Issues Tracker

Summary

Add new value of TWD.TAIFX1/TWD03 to settlement rate option coding scheme.

This is consistent with the definition in the http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=137 (Compendium of Amendments to Annex A to the 1998 FX and Currency Option Definitions). Note amendments in March 2003 redefined "TWD03" to refer to Reuters page TAIFX1 whereas previously it referred to Reuters page TPFL. For backward compatibility we probably need to leave the existing FpML code value of TWD.TPFL/TWD03.

The description for the new TWD.TAIFX1/TWD03 code should be:

The Spot Rate for a Rate Calculation Date will be the Taiwanese Dollar/U.S. Dollar Specified Rate, expressed as the amount of Taiwanese Dollars per one U.S. Dollar, for settlement in two Business Days reported by the Taipei Forex Inc. which appears on the Reuters Screen TAIFX1 Page under the heading "Spot" as of 11:00 a.m., Taipei time, on that Rate Calculation Date, or if no rate appears as of 11:00 a.m., Taipei time, the rate that first appears in any of the next succeeding 15 minute intervals after such time, up to and including 12:00 noon, Taipei time on that Rate Calculation Date.