[This message was posted by Natan Kugel of BGC Partners <[email protected]> to the "Foreign Exchange" discussion forum at http://fixprotocol.org/discuss/1. You can reply to it on-line at http://fixprotocol.org/discuss/read/bc96b184 - PLEASE DO NOT REPLY BY MAIL.]
For non deliverable options, where there could be difference between expiry date and fixing date as well as to emphasize the difference, I would like to suggest establishing a separate set of fields for InstrumentLeg component. LegFixingDate - The date on which the rate is used for which the settlement amount is calculated / the comparison between the NDF / NDO rate and the prevailing spot rate is made. LegFixingTime - explicit time for fixing date. Add party role to reflect fixing source. Then LegMaturityDate (611) can reflect expiry date LegMaturityTime (1212) can reflect expiry time In a similar way add to instrument component block fixingDate and FixingTime. Input is welcome. [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]]
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