Some deals, e.g., a cross currency swap, use FX spot rates.
When pricing one of these instruments for a historical date, if you select a specific cut the system also uses the FX spot rate saved for that cut.
So if you set the cut-off to:
A specific cut, then the system also uses the FX spot rate saved for that cut.
End-of-day, then the system also uses the FX end-of-day spot rate (saved for that date at London 12 am).
A cut-off for a specific exchange, then the system uses the nearest FX cut prior to the time of the exchange cut-off.
Note the following:
The FX rates are only saved on the hour. Accordingly, if you choose an IR cut that is not supported in FX, for example, London 4.15pm, or you select a cut-off for a specific exchange, then the system uses the nearest FX cut prior to the selected cut. So if you select London 4.30pm, the system will use London 4pm for the FX rates.
If you select a future cut, for example, at London 4pm you chose to use the London 5pm cut, the system uses the IR rates saved for this cut on the previous business day (and displays a message to tell you that it is doing this). However, in this case, it does not use the FX spot rate saved for this cut on the previous business day—instead it uses the current FX spot rate.