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

Israr Ahmed

< TOM : If the 'Spot Date' field on the index definition is set to FxSpot or FxCross Spot then Endur will consider the input rate to the Spot gridpoint to be the rate for the spot date: FxSpot = 2d more or less. . If Spot Date is set to 0, then the Spot gridpoint will be for 0cd. . Either way, Endur will use the rate for 0cd to do PnL FX conversion – in the former case it will be the O/N rate that is the 0cd FX, in the latter case it will be using the Spot rate directly. . In your example it looks like the Spot rate is input directly – with Spot Date = FxSpot – and the value for O/N (today) before the Spot date is calculated by ‘backward discounting’ from the Spot date, which is a common setup. . The field “Spot Date” – is the same field as “Days Delayed”. The former name is used for FX (Market = Currency) Index definitions. . So where you use the symbolic date “settle” in that index, it will refer to the date given by the spot date/days delayed field – which is a number of GBDs offset from the current date as per your definition. . Rather than a simple number – representing a GBD offset – you can also set the Spot Date field input to “fxspot” or “fxcrosspot” – these give spot/settle date offset rules for FX a bit more complicated – again these are defined in the User Guide on the page for FX Toolset.>

Download PDF version

This field is for validation purposes and should be left unchanged.