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The Foreign exchange date convention is the timeframe between a currency options trade on the foreign exchange market and when the two parties will exchange the currencies to settle the option. The number of days will depend on the option agreement, the currency pair and the banking hours of the underlying currencies. The convention helps the counterparties to understand when payments will be made for each trade. For the convention there are four key dates to consider when trading a particular currency pair: * Horizon - the date on which the trade originates (usually today) * Spot - the date on which the initial transfer of funds takes place * Expiry - the date on which instrument expires * Delivery - the date on which the final transfer of funds generated from the maturity of the instrument takes place These dates can be summarised on the following timeline: File:OptionsTimeline.GIF == Calculating spot dates == The spot date is always calculated from the horizon date (T). There are two possible cases: #Spot is T+1 day if the currency pair is USD/CAD, USD/TRY, USD/PHP, USD/RUB, USD/KZT or USD/PKR. In this case T+1 must be a business day and also not a US holiday. If an unacceptable day is encountered, move forward one day and test again until an acceptable date is found. #Spot is T+2 days otherwise. The calculation of T+2 must be done by considering each currency within the pair separately. For USD there must be one clear working day between the horizon date and the spot date and for all non-USD currencies there must be two clear working days between the horizon date and the spot date. Also, the spot date cannot fall on a US holiday for any currency pair, however foreign exchange trades can settle on this day (e.g. GBP/JPY on 4 July) but are considered FX outrights. 抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)』 ■ウィキペディアで「Foreign exchange date conventions」の詳細全文を読む スポンサード リンク
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