Reply To: Currency Options

Gareth Evenson

HI Corrie. Endur is taking the rate from the Projection Index on the deal, which is the FX forward curve, for the RFIS date on the deal (generally expiry date + 2d). IF you look at the Reset tab on the – then you can see the Reset / RFIS / RFIE dates – the RFIS / RFIE should be the same and afre the underlying FX settlement date. Then if you open the FX forward curve and select menu View/Output, then in thje Date Seq box put “1d” to give a daily granularity on the curve output – youl should be able to match the rate (similarly for libor).

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