Correlation Option currency options.Integration
For these types of currency options, dates are entered when thetransaction is created. The exchange rates must be fixed for thesedates. The settlement amount is determined from these dates when theoption is exercised.
Prerequisites
Exchange rates are fixed using report RFTBRF00. If incorrect rates arefixed, you can delete them with this report. You can then fix the ratesagain with the RFTBRF00 report.
Selection
By means of selection parameters you can delete the fixed rates forseparate transactions or for a number of transactions at the same time.
As of and including rate date parameter:
This parameter determines as of what key date the fixed rates should bedeleted. (See example)Example
Initial situation:
The following dates were defined for an average rate option. On thesedates the exchange rate is to be determined between the leading currencyEUR and the following currency USD for rate type average:
05/03/2004
05/10/2004
05/17/2004
05/24/2004
The rates were fixed using the RFTBRF00 report up to and including05/10/2004.
The current report is started with the parameters
As of and including rate date 05/10/2004
Result:
On the basis of the values in the as of and including rate dateparameter, the report determines that the fixed rates for 05/10/2005 areto be deleted. This rate is removed from the database table for fixedexchange rates. If you check the dates for rate fixing in thecorresponding dialog window of the transaction, the deleted rate is nolonger visible.
The log shows that the rate fixing for 05/10/2004 has been deleted.