Talk:Foreign exchange date conventions

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Untitled[edit]

I am unmarking this page for deletion as the information on it is a long-standing global standard on trading Foreign Exchange products globally.

It has as much of a right to be on here as the ISO and BS standards or any other catalogue of market/engineering conventions that are established and well-defined. Seems a bit harsh to only give me a couple of days to spot and respond to this deletion. I only just caught this, and it took me quite a while (of paid-time) to put the page together for the use of other people.

Title[edit]

{{editprotected}} Not sure if that's the right template. Anyway, title shouldn't be capitalised as is and the acronym FX is less widely known outside the financial world. Propose move to "Foreign exchange date conventions". 217.28.2.84 (talk) 04:51, 21 January 2009 (UTC)[reply]

Done. Martin 14:46, 21 January 2009 (UTC)[reply]

Spot Date determination[edit]

I would appreciate a citation for the spot date calculation in the general case. If the given algorithm is correct then it can mean T+n and T+(n+1) can fall on the same date given certain patterns of bank holidays, i.e., (T+n)+1 != T+(n+1). This does not mean anything as sinister as "T-n is ambiguous" though.

Showing the calculation for AUD/JPY with T=2009/12/22 would be a non-trivial example as AUD holidays on 2009/12/25 and 28, JPY holiday on 23.

References[edit]

An additional good reference for the above is Chapter 1 of the book 'Foreign Exchange Option Pricing: A Practitioners Guide' (this chapter can be found here). — Preceding unsigned comment added by Mjmckp (talk • contribs) 03:20, 6 September 2012 (UTC)[reply]