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- Looks for an open position in the security and retrieves Pay Leg Notional (7683) and Receive Leg Notional (7684)
- Retrieves the entity’s Valuation FX Source (11652) to populate FX Rate Source for CCS Legs to Contract (7108)
- Infers which leg’s currency does not match the contract
- Looks up the prevailing FX rate Rate for CCS Legs to Contract (7682) from the leg currency to the contract currency
- Converts the leg’s provided MV or price to the contract currency
- Weights the leg’s MV or price based on the ratio of notional between the legs
- Nets both leg's MVs or prices
- Calculates unit price based on notional and Price Multiplier (18)
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