Page History
| Table of Contents |
|---|
Tenors
| Warning | ||
|---|---|---|
| ||
| MarketFactory recommend that Makers reference the provided value dates in order to correctly price 360T requests. |
- For Swaps, the Far leg tenor is relative to the Near leg, rather than representing a date WRT Spot as per market convention:
...
20200202-13:34:17.022155046 RX 8=FIX.4.4|9=555|35=R|34=118|49=360T_RFQ_TEST|52=20200202-13:34:16.959|56=MF_RFQ_TEST|131=35490095-MarketFactory.TEST|828=65| 6215=6M|6216=1M|7070=20200205|7611=2|14001=5|14003=3|146=1|55=EUR/USD|48=EZHPPZCSQSC8|22=4|454=2|455=EZ0HL6Y6WL59|456=4|455=EZMBWZSKXQJ2|456=4|461=SFCXXP|167=FOR|537=1|54=1|38=1000000| 64=20200805|193=20200908|192=1000000|15=EUR|1=MarketFactory Comp1.TEST|40=D|126=20200202-13:36:28.943|453=3|448=MarketFactory.TEST|447=D|452=35|448=MarketFactory Comp1.TEST|447=D|452=1|448=MFCOMP1.Treasurer1|447=D|452=11|553=MFCOMP1.Treasurer1|7071=FX-STD|7074=Y|10=089|
- FWD, NDF, SWP, NDS requests with allocations (360T "Trade on Behalf", TOB) never include tenor codes, Whisperer will always pass such requests through as Broken-dated.
- Note also that in UAT at least, 360T Tenors via the Bridge are currently subject to change.
...
Overview
Content Tools