Fixing Date for NDS (Non Deliverable Swap)

1

Hi,

MaturityDate (541) is used to represent the Fixing Date for an NDF. We are looking for a similar value to use for an NDS (Non Deliverable Swap). We already have repeating Legs for a strip (block) of dates and we cannot use this as and the NDS will look very much like an FX SWAP in terms of QuoteRequest, Quote etc.

We need to quote back the Fixing Date for both legs of the swap, so my intention is to use MaturityDate (541) for Near Leg and another tag for Far Leg without having to totally change our structure to use repeating legs.

Any advice on tags before I resort to a custom tag?

thanks,

2

If you’re looking to indicate the fixing of near and far leg and you’re describing the near and far legs using the InstrumentLeg component, there is the LegMaturityDate(611)

3

Hi @ltaikit

We use the repeating leg groups purely for blocks/strips (i.e. multiple date requests) and our standard deliverable swaps use the standard fix tags for the 2 legs (not using repeating leg groups).

So for Non Deliverable pairs we want to use the standard Swap format as it will be priced and executed just like a standard FX Swap, so just need a tag for the Fixing Date of the far leg.

thanks

4

I will create a custom tag called MaturityDate2 to represent the 2nd leg of Swap ‘fixing date’ unless there is a better approach

5

I can’t tell you whether this is right or wrong since I’m not privy to how you did your “standard delivery swaps …(not using repeating leg groups)” and why you’re even limiting the legs group “purely for blocks/strips”.

In my view the legs group should be used for swaps, where 1 leg is the near leg and the 2nd is the far leg.

Your question on this is not trivial given the constraints you seem to have put on your implementation that I don’t fully understand why.

6

FX Swaps don’t use repeating legs, it’s a product on its own that has near vs far leg specific tags.

Same for Non Deliverable Swaps, to be priced and treated the same way.

The repeating leg group is used for any other multi-leg product like Block (strips) / Pre-Trade Alllocations etc.

I just checked 360T, BBG etc, they have their own tag in the 7000, 9000s to represent far leg ‘fixing date’, so in a way I think that concludes it for me.

thanks for your help on this.