Capturing FX Cross Currency Trades

Cross currency trades can be handled in all of the FX Deal Station trade windows.See below for details specific to each cross currency trade window.

 

1. FX Spot & Forward- Cross currency

When a cross currency forward or spot trade is captured, an area on the trade screen can be displayed (by hitting F10 from either the Spot, Points or Final fields) that is specific to this type of trade. The version that appears for a spot or forward trade is displayed below.

In this example, the trade is for EUR/AUD, triangulating through USD. Calypso knows which currency to triangulate through based on a rule that has been created in the Triangulation Currency Rule Set Manager. To access this window, from Calypso Navigator select Configuration > Definitions > Triangulation Ccy Rule.

The grayed out column is the currency pair that is being solved for, in this case it is the currency pair for the trade. The triangulation rates are fed in through the Market Data Server, or they can be manually entered if desired. You can click the to update the rates as you are entering the trade data.

You are also able to solve for one of the triangulation currency pairs by selecting the Solve For toggle button in the column designated for that pair.

The fields in this panel are described below:

Fields	Description
Spot	The spot rate for the currency pair. Defaults to the real-time feed rate if set up.
Points	Forward points. If it is spot, then the value is zero.
All In	The Spot rate plus the Points.
Mismatch	The spot mismatch which can be manually entered. This is used for Spot Risk Transfer. When pricing parameter FX_POINTS = True, by default, mismatch points come from underlying discount curves. When domain "FXMismatch.useFXCurve" contains Value = true, mismatch points from FX curves.

Below the Solve For toggles are a row of Rounding toggles. You can choose which of the two triangulation currency pair exchange rates should be rounded. Rounding specifications are established in the Currency Definition window. (From Calypso Navigator, select Configuration > Definitions > Currency Definitions)

 

2. FX Swap - Cross Currency

When a cross currency swap is captured, an area on the trade screen can be displayed (by hitting F10 from either the Spot, Points, Far Points, Final or Far Final fields) appears that is specific to this type of trade. This is displayed below.

This panel contains details for each currency pair involved in the cross currency trade.

 

Fields	Description
Spot	The spot rate for the currency pair. Defaults to the real-time feed rate if set up.
Points	Forward points for the near leg. If the near leg is spot, then the near points value is zero.
All In	The spot rate plus the near Points.
Mismatch	The spot mismatch which can be manually entered.
Far Points	Forward points for the far leg.
Fwd/Fwd	This is the difference between Far All In and All In
Far All In	The spot rate plus the Far Points.

 

 Ⓘ   Note: You are able to have a currency split with a cross currency trade. Entering information in the currency split area over rides the triangulation currency rule in effect and creates separate trades for each currency pair. For detailed information, please refer to Currency Split in the FX Trade Routing documentation.