NSD’s trade repository messages specifications
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Quanto
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Type
Description
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fxRate
FxRate
0-∞
fxSpotRateSource
FxSpotRateSource
0-1
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Quanto
fxRate
(FxRate)
quotedCurrencyPair
(QuotedCurrencyPair)
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
currency1
(Currency)
The first currency specified when a pair of currencies is to be evaluated.
currency2
(Currency)
The second currency specified when a pair of currencies is to be evaluated.
quoteBasis
(QuoteBasisEnum)
The method by which the exchange rate is quoted.
Currency1PerCurrency2;Currency2PerCurrency1;
rate
(decimal)
The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.
fxSpotRateSource
(FxSpotRateSource)
primaryRateSource
(InformationSource)
The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
Code of price source.
rateSource
(InformationProvider)
An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.