5PM Rule Setup

 

1. Trades

To apply the 5PM rule to trades, you need to set the book attribute DayChangeRule to FX.

It will use the 5PM New York rule to determine the close of business to compute the trade date and time and spot date and time, otherwise the book's timezone is used.

When set to FX, if a trade is entered today after 5PM (New York time), the trade date is rolled 1 day forward, and the spot date is computed from the new trade date using NYC holidays.

There is mechanism to include late trades in today's positions.

See Position Configuration - Late FX Trades for details.

 

2. Pricing

To apply the 5PM rule to pricing, you need to set the Day Change Rule of the pricing environment to FX.

It will compute the valuation date based on the 5PM New York rule (close of business), otherwise the pricing environment's timezone is used.