the horizon date and the spot date. If the delivery date is a non-business day or a US holiday, move forward until an acceptable delivery date is found. FX Derivatives Trader School. If an unacceptable day is encountered, move forward one day and test again until an acceptable date is found. If the spot date falls before the end of the month but the resultant delivery date is beyond the end of the target month then the delivery date is defined by convention to be the last business day of the target month. The, foreign exchange Options 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. Spot is, t2 days otherwise. One defines "target month" to lie x months forward from spot if time to expiry is x months;.g., if in February, and the time to expiry is three months, the target month is May. Finally, calculate the expiry date using an "inverse spot" operation;.g., find the expiry date for which the delivery date would be its spot.
The calculation of T2 must be done by considering each currency within the pair separately. Days and weeks edit, for a trade with a time to expiry of v days, the expiry date is the day v days ahead of the horizon date (unless it is a weekend or 1 January, in which case the date is rolled forward. For example, assuming all days are business days: if the spot date is 30 January, a one-month time to expiry implies delivery date 30 Februaryhowever, this doesnt exist and the delivery date becomes 28 February (in a non-leap year). If one leg of the currency pair is a non-deliverable currency, the expiry date must be a business day of that currency.
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Foreign exchange date conventions, wikipedia)
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See also edit References edit Jewitt, Giles (2015). In general, the expiry date work from home legit jobs no fee can be any weekday, even if it is a holiday in one, or both of the currencies, except 1 January. 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. The delivery date is then calculated from the expiry date in the same way as the spot date is calculated from the horizon date. Overnight edit, for overnight trades, the expiry date is the next week-day after the horizon date, and the delivery date is calculated from the expiry date in the same way as spot is calculated from the horizon date. These dates can be summarised on the following timeline: Contents, calculating spot dates edit, the spot date is always calculated from the horizon date (T). When finding the expiry date from the delivery date, there must be one clear business day and one weekday (not including 1 January) in any applicable non-USD/non-CAD, non-USD/non-TRY, non-USD/non-PHP, non-USD/non-RUB, non-USD/non-KZT and non-USD/non-PKR currency.
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