FX Rate Calculation Processing Notes

There may be cases where a reverse and/or cross foreign exchange (FX) rate is needed between two currencies that has not been quoted from a vendor. It is possible to calculate a reverse rate from an existing rate, and a cross rate if each of the two currencies is quoted to a common base currency. Calculating the cross rate uses a process called triangulation.

To calculate a triangulated rate, open Reference Data Center > Reference Desk > Exchange Rates > Exchange Rate Operations > Add Exchange Rate Currency or Issue Viewer > Currency Exchange Rates > Insert Base Currency and populate the required data.

1. Source Name (1102): must match the source of the quoted rates

2. Cross Rate Base Currency (363): this will be the resulting "to" currency, GBP from our example

3. Reference Base Currency (313): the common base currency, USD from our example

4. Effective Date (1109): date rates are needed

The process automatically calculates the reverse rate and, if applicable, cross rate(s) as shown below. If only the GBP/USD was quoted, only the USD/GBP rate would be calculated.