Reply To: What FX Rate is used to convert PnL to Base CCY

#6985
Israr
Participant

The rule* is that Endur will use whatever gpt is on ‘0cd’.

Now the general dates are defined as below :

current = 0d
next = current + 1gbd
settle = current + x gbd’s ( where x = days delayed ie days to settlement )

So in your example , as current = 0d and its the “O/N” Gridpoint that is defined with the current date ( = 0d ) , hence this will be used to do FX conversion rather than the “Spot” Gridpoint .

So the “O/N” gpt will be used to convert to base CCY.

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