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- Side - Side information is maintained on a netted, per-Leg basis in the LegSide field, and on a per-alloction basis via the sign of the LegAllocQty.
- Dealt Currency - Side is always stated with respect to the traded currency.
- Quantity - The relative quantities of individual legs must be understood when pricing multi-Legged requests. Consider for example, the pricing of an uneven Swap, where the side of Spot required is flipped.
- Dates Date - Tenor and value date information is provided on a per-Leg basis in the LegSettLDate and LegSettlType fields.
- Quantity - The relative quantities of individual legs must be understood when pricing multi-Legged requests.
Spot Side Determination
When pricing a multi-Legged request, the Maker needs to determine which side of Spot is to be used across all the individual Legs.
Business rules for Swap pricing are well known and summarised in the table below:
| Far Leg | Dealt Currency | Far > Near | Side of Spot | Near Leg Fwd Pts & All-in | Far Leg Fwd Pts & All-in |
|---|---|---|---|---|---|
| Buy | Base | TRUE | Offer | Bid | Offer |
| Sell | Terms | TRUE | Offer | Bid | Offer |
| Buy | Base | FALSE | Bid | Bid | Offer |
| Sell | Terms | FALSE | Bid | Bid | Offer |
| Buy | Terms | TRUE | Bid | Offer | Bid |
| Sell | Base | TRUE | Bid | Offer | Bid |
| Buy | Terms | FALSE | Offer | Offer | Bid |
| Sell | Base | FALSE | Offer | Offer | Bid |
When considering Block requests, the simple "Far > Near" check is not sufficient to determine side of Spot. A naive approach is to simply extend the Swaps model above and arithmetically net all the Legs quantities to get an aggregated Buy or Sell. If the maker is more sophisticated, then the Net Present Value of each Leg can be determined, and those amounts aggregated.
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