Purpose
This report is used to fix exchange rates for Average Rate Option,Basket Option or 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
All relevant exchange rates must be defined in the system for the keydate.

Selection
By means of selection parameters you can fix rates for separatetransactions or for a number of transactions at the same time.
Up to and including rate date parameter:
This parameter determines the key date up to which rates are to befixed. (See example)
Only exact day rates indicator:
If you set this indicator, rates are only taken into consideration whenthe exchange rate is determined if their date corresponds to the fixingdate entered when the transaction was created. An error message isoutput if the system is unable to find any exchange rates for therelevant date.
If this indicator is not set, the system will first try to determine an"exact day" exchange rate. If this is not possible, rates that are inthe past from the perspective of the default fixing date are also takeninto account.
Log: only display errors indicator:
If you have not set this indicator, the log will include informationabout the exchange rates that were determined successfully in additionto errors.
If this indicator is set, information about successfully determinedexchange rates is not displayed.

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 A.
05/03/2004
05/10/2004
05/17/2004
05/24/2004
The report is started with the parameters
Up to and including rate date ,,05/10/2004
Only exact day rates,,,,X
The system contains all relevant rates for all dates up to and including05/08/04.
Result:
On the basis of the values in the up to and including rate dateparameter, the report determines that 05/03/2005 and 05/10/2005 are tobe fixed.
Fixing date 05/03/2005 is found in the table of exchange rates with arate of 1.2083. This rate is stored in the database table for fixedexchange rates and can be seen in the relevant transaction dialog box.
No entry is found in the table of exchange rates for fixing date05/10/2005. This error is written to the log. If the report had beenstarted without the only exact date rates indicator being set, thesystem would have taken the next rate from 05/08/2005 instead of the05/10/2005 rate and not it would not have output an error.