What is FXR
What is
FXR is a currency rates maintenance program, that can optionally be configured to include the forward curve by maintaining the pips/points as the difference from the Spot rate. For forward/futures/options trading in commodities or Forex, it is important to register company estimates for the movements’ rates (up or down from the spot rate) in currency exchange rates. Forward exchange rates movements for 1, 2, 3, 6 months and 1 and 2 years can be maintained.
FXR has three main functions:
1) Amending spot, historical and month end exchange rates/forward points
2) Creating forward exchange rates/points
3) Freezing month end rates/points
The program displays a form with a search field and a grid that displays the results of a currency search.
For functions 1) and 3) FXR works by first recalling currencies and then amending their exchange rate (forward points). Recall is done by date or period (entering a past date/period or the word "Spot" in the search field). If a date is entered, all currencies created or amended (including amendments to forward points) on the date entered with their details (i.e. Code, Description, Amendment Information, Rate Type and ROE) will be listed as a result of the search. These currencies can be amended. If a period is entered and the period rates/points have been frozen, the month end rates will appear, if not frozen, the rates/points that appear are spot. If month end rates/points appear the freezing date and person will accompany the rate information, these month end rates/points can be amended. If spot rates appear no freezing information will be displayed and saving then does freezing.
For function 2) FXR works by first defining a forward date (entering it in the search field) and then filling in the enabled rows of the grid with the currencies that require the definition of forward exchange rates (points). The definition of forward exchange rates/points is particularly useful for establishing the rates to be used on maturity dates in terminal trading.
Only the exchange rate/points details can be amended from FXR. Except when recalling spot rates, the last row of the grid is always enabled to allow users to enter other currencies that haven't been brought up in the search but that require amending.
FX rates are reported by many financial organisations e.g. banks, specialist FX trading companies so there is NO universal standard rates that can be collected i.e. not the same setup as F&O market prices which are reported for everybody by their Clearing body. ITAS does have a specialist FX import from the XE.com website; however that site is a subscription setup which needs to agreed between the HIVEDOME customer and XE. Thereafter Hivedome will need to reconfigure ITAS to enable collection of the rates from the XE.com site.
There is a standard FXR/Import process for bulk entry of historical rates. Right click for Import process and select the directory and the .csv as per format below. The target currency is established by Hivedome in S01 setup for the server
There is a standard FXR/Import process for bulk entry of historical rates. Right click for Import process and select the directory and the .csv as per format below. The target currency is established by Hivedome in S01 setup for the server
.csv format
Row 1 is the list of data fields being imported:
Col 1 = date
Col 2 = ccy
Col 3 = roe
Col 4 = roetype
Col 5 = movem1 (Optional)
Col 6 = movem2 (Optional)
Col 7 = movem3 (Optional)
Col 8 = movem6 (Optional)
Col 9 = movey1 (Optional)
Col 10 = movey2 (Optional)
Row 2 and subsequent rows are the data:
Col 1 Settlement date/period. Period is entered as YYYYMM32 and date is YYYYMMDD
Col 2 Ccy code (ITAS) e.g. GBP
Col 3 Close/settlement rate e.g. 1.6995
Col 4 D or M e.g. M
Col 5 1mth settlement/spread signed – or + e.g. -0.00125
Col 6 2mth settlement/spread signed – or + e.g. -0.00125
Col 7 3mth settlement/spread signed – or + e.g. -0.00125
Col 8 6mth settlement/spread signed – or + e.g. -0.00125
Col 9 1year settlement/spread signed – or + e.g. 0.0006
Col 10 2year settlement/spread signed – or + e.g. 0.00075
Hivedome can setup this process to automate from a Windows batch command file;
e.g. c:\itas\exec\s\s07 MenuBatch gf DEP /path=c:\itas\FX\fxrates.csv/IMPORT/spot=Y
There is a specialist import of exchange rates and their spread points. The program FXRIMPORT needs the import file format (see below) for ITAS to migrate the spot rates and the speads. Note that this import will process any named file ONLY as either Yesterdays or Todays exchange rates; the file name is meaningless to this application.
FXRIMPORT .csv format
Col 1 Ccy code (ITAS)
Col 2 Ccy name (optional - not used)
Col 3 Spot bid (not used)
Col 4 Spot ask (not used)
Col 5 1day Bid
Col 6 1day Ask
Col 7 1week Bid
Col 8 1week Ask
Col 9 1mth Bid
Col 10 1mth Ask
Col 11 3mth Bid
Col 12 3mth Ask
Col 13 6mth Bid
Col 14 6mth Ask
Col 15 9mth Bid
Col 16 9mth Ask
Col 17 1yr Bid
Col 18 1yr Ask
Col 19 2yr Bid
Col 20 2yr Ask
Col 21 Close/settlement rate