Reply To: Separate FX Conversion and Discounting

Gareth Evenson

Depends on the FX instrument pricing model.

FX-DIS -> separately discount each leg and convert at spot to ccy2
FX-MG-DIS -> convert cc1-cc2 using forward curve and discount on ccy2 libor

So both are currently supported. But as you say the relationship between the forward fx and the differential DF of the two libor curves is key and if the relationship does not hold then there are P&L implications.

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