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Non deliverable forward : fixing rate - exchange rate type

Oct 27, 2017 at 03:21 PM


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Hello, in TRM the fixing source for the NDF seems to be configured in the following customizing point :

This would mean if for some currency pair, say BRL/USD is stored in another exchange rate type, the wrong value will be proposed for the fixing.

It would mean that we need to create a different combination product type/transaction type each time we have another exchange type that stores te correct fixing rate???

Note that the EURX exchange rate type has been defined in such a way that it can only store EUR versus some other currency, so you cannot store a BRL/USD in this exchange rate type.

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1 Answer

Gustavo Vazquez Oct 27, 2017 at 04:50 PM

I would suggest to change EURX to M or create a new Prod Type.

Kind Regards

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