Exchange Rate Structure
An Exchange Rate Structure is a World Variable which is used to specify spot foreign exchange rates for a set of currencies.
These rates are specified as follows:
- First, one of these currencies is selected as the Base Currency; and then
- The prices of the remaining currencies in the base currency are specified.
All the cross foreign exchange rates can then be calculated as required.
The following is a display of an Exchange Rate Structure that has a base
currency of USD and exchange rates in USD for the currencies CAD, DEM, and EURO:
In order to see all the cross rates, click on the "Table" button to display:
To return to the main display, click on the "Restore" button.
In order to examine how the data has been set up, select one of the items in
the list box with the Exchange Rate Structure Data. For example, selecting
"FX_CAD" will display:
This display shows that the USD price of the currency CAD is specified as a
Mid-Market price along with a Spread. [An alternate specification would have been
as a Bid price and an Ask price.] The current Mid-Market price is USD 0.693049
per CAD and the current Spread between bid and ask prices is zero.
The Mid-Market price formula shows that the current value is obtained from an External Data Variable called CAD_XS. And the current value of the Spread price is obtained from a Computed Data Variable called CAD_USD_FX_SPREAD.
Naming Convention:
The Exchange Rate Structure Data names are automatically created by adding the
currency name to the end of the name chosen for the Exchange Rate Structure.
Furthermore, the World Variable Data variables that are used to specify the Exchange Rate Structure Data are also
named automatically. These names are generated using the generated name for the
Exchange Rate Structure Data and then adding the appropriate suffix from the
following list:
- MIDMKT for Mid-Market prices;
- SPREAD for Spread prices;
- BID for Bid prices;
- ASK for Ask prices.