Reply To: “Fixing Mappings” during Intra Day

#7923
Israr Ahmed
Keymaster

The Fixing Mapping gets utilised during the EOD fixing process where Instead of Fixing on Curve A , the deal with fix off mapped index Curve B.

This works fine for resets.

The situation intra-day ( Flash ) on a reset day is interesting.

— If there is NO Saved Historic Price on curve B then it will price off curve A .

— But if there IS a Saved Historic Price on curve B then it will price off curve B ( despite it not being fixed ) .

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