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Business rules for Swap pricing are well known and summarised in the table below:
| Near Leg | Far Leg | Dealt Currency | Far > Near | Side of Spot | Near Leg Fwd Pts & All-in | Far Leg Fwd Pts & All-in |
|---|---|---|---|---|---|---|
| Sell | Buy | Base | TRUE | Offer | Bid | Offer |
| Buy | Sell | Terms | TRUE | Offer | Bid | Offer |
| Sell | Buy | Base | FALSE | Bid | Bid | Offer |
| Buy | Sell | Terms | FALSE | Bid | Bid | Offer |
| Sell | Buy | Terms | TRUE | Bid | Offer | Bid |
| Buy | Sell | Base | TRUE | Bid | Offer | Bid |
| Sell | Buy | Terms | FALSE | Offer | Offer | Bid |
| Buy | 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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