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Forward Window Contracts

Hi,

I need to create a Forward window contract to buy or sell a foreign currency at a designated price during a specified period between two future dates. But in standard product type- 60A, there is only field to capture future date i.e. Value Date.

Please provide an insight on this issue.

Thanks and Regards,

Abhishek Sarawagi

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2 Answers

  • Posted on Jul 14, 2011 at 01:51 PM

    Hi Abhishek ,

    I guess your requirement is rather non-standard, as normally forward rate is function of spot rate, time period and difference between two currencies yield curves and normally this rate is not flat for different maturities.

    what you can do as a workaround is suggest to the customer to enter the earliest maturity date into a contract and modify it if they decide to make payment at some later date.

    Rgds,

    Renatas

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  • Posted on Jul 14, 2011 at 07:09 PM

    HI,

    Try Creating a Forward contract for the Whole amount and for the final value date

    and then do premeture settlement for the 1st trench for the first trench amount.

    There will be two transaction on Final value date..

    1) for the whole amount

    2) for the 1st trench (reversal to 1 with amount withdrawn in the 1st trench)

    Thanks & Best Regards,

    M. Naveen Kumar

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    • Former Member M Naveen Kumar

      Hi Naveen,

      I am executing S_ALR_87015245 for the same. Is there any specific report is there for such a scenario as the bank has given open period range wherein I can mature the contract at anytime between that period.

      Thanks and Regards,

      Abhishek Sarawagi

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