The type of the FX Cross instrument. The possible values are:

• FxSpot,
• FxForward,
• FxNonDeliverableForward,
• FxSwap,
• FxTimeOptionForward.

The contractual exchange rate agreed by counterparties. It is used to compute contraAmount if it is not provided:

• for FxForward and FxNonDeliverableForward contracts: contraAmount computed as [dealAmount x tradedCrossRate / FxCrossScalingFactor],
• for FxSwap contracts: farLeg contraAmount computed as [nearLeg dealAmount x tradedCrossRate / FxCrossScalingFactor].

The contractual spot rate agreed by counterparties. It is used to compute tradedCrossRate as [referenceSpotRate + tradedSwapPoints / FxSwapPointScalingFactor].

In the case of a FxSwap contract, it is also used to compute nearLeg contraAmount (if not defined) as [nearLeg dealAmount x (referenceSpotRate / FxCrossScalingFactor)].

The input array which defines the instrument’s legs using the FxCrossLegDefinition list.

It is mandatory for the following FxCrossType contracts:

• 1 leg is mandatory for FxForward, FxNonDeliverableForward, and FxTimeOptionForward,
• 2 legs are mandatory for FxSwap.

• FxSpot,
• FxForward,
• FxNonDeliverableForward,
• SwapNear,
• SwapFar.
  

Mandatory for FxSwap contracts.

The direction of the transaction in terms of the deal (base) currency. The possible values are:

• Buy: the deal currency to be bought,
• Sell: the deal currency to be sold.

If fxCrossType = 'FxSwap', the 'Sell' value must be defined for one of the legs.

The maturity date of the instrument. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z').

Either endDate or tenor must be provided for FxForward, FxNonDeliverableForward, FxTimeOptionForward and FxSwap.

The code indicating the period between startDate and endDate of the instrument (e.g., '6M', '1Y').

Either endDate or tenor must be provided for FxForward, FxNonDeliverableForward, FxTimeOptionForward and FxSwap.

For more details on the list of tenor types that can be requested please refer here.

The price side of the instrument which comes from the instrument's quote or from the curve (derived from quotes) used to value the instrument. The possible values are:

• Bid,
• Ask,
• Mid.

An indicator if holidays of the reference currency are included or not in the pricing when dates are computed. By default, the reference currency is USD. The possible values are:

• True: holidays are ignored,
• False: holidays are included in pricing.

The method used to calculate an outright price or deposit rates. The possible values are:

• FxSwap: outrights are computed using swap points,
• FxSwapImpliedFromDeposit: implied FX swap points are computed from deposit rates.

An indicator if DepositCcy1 and DepositCcy2 are adjusted to the cross calendar dates. The possible values are:

• True: the market data is adjusted according to the cross calendar dates,
• False: unmodified market data is returned, cross calendar is ignored.

The object used to define the time to move the spot date to the next business day.

For the detailed breakdown, please refer here.

The swap points applied as the Historical Rate Rollover (HRR) adjustment when rolling the FX forward position. The value is divided by FxSwapPointScalingFactor to obtain the rate added to the contractual exchange rate agreed by counterparties (tradedCrossRate) to calculate hrrRate. 

The swap points adjustment applied when settling an FX forward before its original maturity date. The value is divided by FxSwapPointScalingFactor and added to the contractual exchange rate agreed by counterparties (tradedCrossRate) to calculate preDeliveryRate.

A negative value indicates that the client receives a less favourable rate for early settlement.

Overrides depositRate component of the total funding cost in HrrCalculationResult and PreDeliveryCalculationResult.

When specified, depositRic is ignored and this rate is used directly. Useful when a specific funding rate has been agreed between counterparties or when market data is unavailable.

Overrides creditSpread component of the total funding cost in HrrCalculationResult and PreDeliveryCalculationResult.

Can be either the client's credit risk spread or the margin charged by the liquidity provider depending on the context.

It is used when hrrPoint or preDeliveryPoint is not provided.

The currency in which HRR and PreDelivery cash flows are expressed.

Determines depositRic used to derive depositRate for the funding cost calculation in HrrCalculationResult and PreDeliveryCalculationResult.

Only currencies of fxCrossCode are supported.

The time zone used to move the spot date to the next business day (e.g., 'America/New_York'). Please refer to tz database for the list of possible values.

Mandatory to define roll over time.

The local time of the time zone used to move the spot date to the next business day. It is expressed in hh:mm:ss format (e.g., '17:00:00').

Mandatory to define roll over time.

The view mode that can be selected for the instrument's outputs. The possible values are:

• Instruments: the data contains an array of outputs values computed for the instrument (with a single value for each output).
• Legs: the data contains an array of outputs values computed for each corresponding leg of the instrument.
• Default: the mode varies depending on instrument to guarantee backward compatibility (it is ‘Instruments’ for all contracts except ‘Swap’ for which 'Legs' is used).

The type of the FX Cross instrument. The possible values are:

• FxSpot,
• FxForward,
• FxNonDeliverableForward,
• FxSwap.

• for FX instruments: the deal (base) currency,
• for Swap: the currency of the paid leg,
• for other instruments: the currency of the instrument's notional amount.

The value is expressed in ISO 4217 alphabetical format (e.g., 'USD').

The contra (quote) currency code, expressed in ISO 4217 alphabetical format (e.g., 'CHF').

It is available only if 'Legs' view mode is selected in 'dataLayout' object property.

The code of the currency, in which the deal is settled. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD').

The indicator of the deal side. The possible values are:

• Buy: buying the deal currency,
• Sell: selling the deal currency.

It is available only if 'Legs' view mode is selected in 'dataLayout' object property.

The contractual exchange rate agreed by counterparties. It is used to compute ContraAmount if it is not provided:

• for FxForward and FxNonDeliverableForward contracts: contraAmount computed as [DealAmount x TradedCrossRate / FxCrossScalingFactor],
• for FxSwap contracts: farLeg ContraAmount computed as [nearLeg DealAmount x TradedCrossRate / FxCrossScalingFactor].

The contractual forward points agreed by counterparties. It is used to compute the TradedCrossRate as [ReferenceSpotRate + TradedSwapPoints / FxSwapPointScalingFactor].

It is available only if 'Legs' view mode is selected in 'dataLayout' object property.

An indicator of EndDate adjustment. The possible values are:

• W: EndDate is adjusted due to a weekend,
• H: EndDate is adjusted due to a holiday. 

An indicator of StartDate adjustment. The possible values are:

• W: StartDate is adjusted due to a weekend,
• H: StartDate is adjusted due to a holiday. 

The amount of the deal (base) currency bought or sold.

It is available only if 'Legs' view mode is selected in 'dataLayout' object property.

The amount of ContraCcy exchanged to buy or sell the amount of the deal (base) currency.

It is available only if 'Legs' view mode is selected in 'dataLayout' object property.

This settlement amount in case of an FxNonDeliverableForward (NDF) contract. The value is expressed in the settlement currency.

The contractual spot rate agreed by counterparties. It is used to compute TradedCrossRate as [ReferenceSpotRate + TradedSwapPoints / FxSwapPointScalingFactor].
In the case of a FxSwap contract, it is also used to compute nearLeg ContraAmount as [nearLeg DealAmount x (ReferenceSpotRate / FxCrossScalingFactor)].

It is available only if 'Legs' view mode is selected in 'dataLayout' object property.

• Bid (Bid value),
• Ask (Ask value),
• Mid (Mid value).

• Bid (Bid value),
• Ask (Ask value),
• Mid (Mid value).

The field returns Bid or Ask date depending on priceSide parameter:

• the Bid date (the date of the lowest Bid price) if priceSide is set to 'Bid',
• the Ask date (the date with the highest Ask price) if priceSide is set to 'Ask',
• null if priceSide is set to 'Mid'.

The value is expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01').

It is available only for FxTimeOptionForward.

• Bid (Bid value),
• Ask (Ask value),
• Mid (Mid value).

The array of objects with turn period attributes for the currency 1 of fxCrossCode against the reference currency (which is USD by default). The rates computed on standard or user-defined turn dates together with user-defined rates are returned in this output. 

For the detailed breakdown, please refer here.

The array of objects with turn period attributes for the currency 2 of fxCrossCode against the reference currency (which is USD by default). 
The rates computed on standard or user-defined turn dates together with user-defined rates are returned in this output. 

For the detailed breakdown, please refer here.

The information on the contract's cash flows during its lifetime. It consists of the following properties:

• instrumentType: the instrument type for which cash flows are computed,
• payments: the array of properties which define all instrument’s cash flows (paid and received) during its lifetime. For more details, please refer here.

Provides the results of a Historical Rate Rollover (HRR) calculation for an FX forward contract.

HRR arises when a forward position is rolled over at a rate that differs from the prevailing market rate (i.e., at a historical or off-market rate). The discrepancy occurs because the forward rate agreed by the counterparties on the original trade date (tradedCrossRate), by the time of rollover, no longer reflects the fair value.

The rollover involves two distinct operations: the maturing position is closed and a new forward is opened at the current market forward rate (rolloverOutright). The cash difference between the historical rate and the current market rate is treated as an implicit loan between the counterparties, charged at the applicable deposit rate plus a credit spread.

For a detailed breakdown, please refer here.

Provides the results of a pre-delivery calculation for an FX forward contract.

Pre-delivery arises when a client settles an FX forward before its original maturity date. The position is closed early at a rate (preDeliveryRate) derived from the original tradedCrossRate adjusted by the pre-delivery swap points. The difference between the pre-delivery rate and the current market rate produces a P&L (presentvalueOfProfitLoss), which is further adjusted by a funding cost component (presentValueOfAdjustment) to arrive at the total settlement loss (lossOriginalSettlement).

The result also provides the effective settlement amount and the applicable funding cost components.

For a detailed breakdown, please refer here.