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Forward value dates of FX cross pairs?
Posted: July 22nd, 2010, 3:30 pm
by mizhael
Forward value dates of FX cross pairs? --------------------------------------------------------------------------------if I have the value date of 1WEEK forward of EURUSD,and have the value date of 1WEEK forward of CADUSDI want to form a cross EURCADwhat's the value date of that 1WEEK forward on EURCAD?the biggest of the two value dates I have on hand?
Forward value dates of FX cross pairs?
Posted: July 22nd, 2010, 8:48 pm
by Muon
What do you mean by the biggest of the two value dates?
Forward value dates of FX cross pairs?
Posted: July 22nd, 2010, 10:37 pm
by mizhael
QuoteOriginally posted by: MuonWhat do you mean by the biggest of the two value dates?max(ValueDate1, ValueDate2)
Forward value dates of FX cross pairs?
Posted: August 6th, 2010, 11:09 am
by opsho
Correct. So in your example $CAD will be 1 week plus 1 day to match the value date for EURCAD.No different than spot for EURCAD is reall spot EUR$ and Spot Next for $CAD.Make sense?