fpml:exchangeRate

The rate of exchange between two currencies.

Element information

Content

• Sequence [1..1]
  1. fpml:quotedCurrencyPair [1..1]    Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
  2. fpml:rate [0..1]    The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.
  3. Sequence [0..1]
     1. fpml:spotRate [0..1]    An element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.
     2. Sequence [0..1]
        1. fpml:forwardPoints [0..1]    An optional element used for deals consumated in the FX Forwards market. Forward points represent the interest rate differential between the two currencies traded and are quoted as a preminum or a discount. Forward points are added to, or subtracted from, the spot rate to create the rate of the forward trade.
        2. fpml:pointValue [0..1]    An optional element that documents the size of point (pip) in which a rate was quoted (or in this case, forwardPoints are calculated). Point (pip) size varies by currency pair: major currencies are all traded in points of 0.0001, with the exception of JPY which has a point size of 0.01.
  4. fpml:crossRate [0..*]    An optional element that allow for definition of the currency exchange rates used to cross between the traded currencies for non-base currency FX contracts.

Attributes

None

Used in

• Type fpml:TradeUnderlyer2 (Element fpml:underlyer)

Sample instance

<exchangeRate>
   <quotedCurrencyPair>
      <currency1>GBP</currency1>
      <currency2>USD</currency2>
      <quoteBasis>Currency2PerCurrency1</quoteBasis>
   </quotedCurrencyPair>
   <rate>1.48</rate>
</exchangeRate>