Foreign Exchange - Fixing Date & Time

foreign-exchange

#1

Hi,

I’ve seen some discussion topics over the years about capturing Fixing Date and Fixing Time. Is there any agreed upon way to represent this data?

A quick google search shows several custom representations that different entities have put out. Generally these include FixingDate (LocalMktDate), FixingTime (TZTimeOnly), LegFixingDate, LegFixingTime.

I see in one place a recommendation to use MaturityDate + MaturityTime.

Let me know any thoughts.

Thanks,
Zak


#2

After I left a comment in another thread, I got a reply here: fixing date for NDF's

Thanks,
Zak