The foreign exchange market (forex, FX, or currency market) is a global, worldwide-decentralized financial market for trading currencies. Commonly traded instruments include spot, forward, swaps, futures, and options. The FX market is the most liquid financial market in the world. There is no ...

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24 views

Where can i get a feed for country specific economic announcements?

I am looking for a feed for country wide economic announcements. For example CPI announcements etc. I currently use http://www.fxstreet.com/economic-calendar/ but I have to manually go there and ...
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0answers
26 views

what data to use to compare the interest rate among different currencies?

Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies. For example, I am interested in compare interest rate in the ...
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0answers
22 views

Relationship between ADR in USD and original stock in GBP - Drift in price

For tax reasons, I switched a position I had in the HSBC London GBP listing into the USD ADR. The ADR represents 5 shares of the GBP listing. My understanding was that since at all times 1 ADR = 5 UK ...
2
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1answer
144 views

Black model: Delta - strike relationship regardless of expiry?

While wandering through some QuantLib experimental classes for FX trading, I've found this Black Delta Calculator. By reading its .cpp, it seems that no use of ...
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1answer
15 views

Lease Accounting / FX Embedded Derivatives

I have a lease agreement where the functional currency is USD, domestic currency is UAH. Lease agreement is written in EUR (rent rate) and payments are to be done in UAH in the amount of rent rate ...
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0answers
25 views

is there a limit on how many times i can access fxcm xml feed

i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ...
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15 views

is there any calibration method to calculate FX forward rate? How Bloomberg define FX forward rate

there is any calibration method to calculate FX forward rate? How Bloomberg define FX forward rate
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1answer
43 views

Lease Accounting / FX Embedded Derivatives: How to Value Floor / Cap Optionality Features

Suppose you have a lease agreement where the functional/domestic currency is RUB and the currency on which the lease is written USD. Let $S$ be the USD/RUB exchange rate (# of rubles per 1 dollar). ...
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71 views

Are there any software libraries for backtesting FX algorithms against tick data?

I've read question, however it doesn't appear as if any of those libraries work for FX data. A Google search for python forex backtesting turns up this project, ...
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1answer
87 views

Forex P&l Attribution on Physical Forward position

Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below ...
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1answer
37 views

What are the technical events that fluctuate quoted asset (e.g. forex) prices? How does it relate to the purchase of currency contracts?

This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note ...
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1answer
52 views

Longer term average probabilities of fills at fx ECNs?

I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ...
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0answers
45 views

Is the Volatility of the Fx Inverse process same as Fx

Let St = Fx and St(Inverse) = 1/Fx. Do both of these have same volatility and if so how would you prove it?
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1answer
92 views

What is delta neutral

Does delta neutral portfolio mean you add up deltas of all positions and the sum should be zero? Is this true? Also, in a FX portfolio consisting of FX calls puts and Fwds, if FWD delta is given for ...
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1answer
111 views

In a FX options book, is the sum of P&L equal to the portfolio value?

For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
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1answer
130 views

FX Delta Conventions

I'm currently reading Iain Clark's book Foreign Exchange Option Pricing and I got stuck at one sentence in the beginning of Section 3.3 that I feel is important to understand. He writes: FX ...
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1answer
61 views

Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
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0answers
13 views

Where could we download free historical exchange rate? [duplicate]

It doesn't seem yahoo finance and google finance supports download of historical exchange rates. Also, where could we get more accurate exchange rate tick data? Can we get this from open Bloomberg ...
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2answers
32 views

American put on a foreign currency

I know that For an American-style put option, early exercise is a optimal for deep in-the-money options. In this case, it may make sense to exercise the option early in order to obtain the profit ...
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2answers
2k views

how to calculate a cross-currency swap in basis pt?

This question has been bugging me for awhile now and I've been trying to find a definite answer, however, no avail... My question, in specific, relates to the USD/CNH CCS rate. From what I understand ...
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0answers
19 views

Residual maturity vol

The following question is probably (from a practical point of view) more relevant for EM markets which typically exhibit a more pronounced forward volatility compared to spot volatility. Say I buy a ...
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1answer
135 views

Factoring risk premium in to Forward Rate calculation

This is a self study question. I'm calculating a forward rate. Specifically, I have that in a country X, the Spot Rate is 5X/1US. I also have that the 1 year interest rate is 13% in country X and ...
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1answer
54 views

Equity Chart - design and granularity

I am looking to build a web based Equity chart to display performance of FX trading strategies. I would like to hear opinions and advice on a few areas that I am unsure about. Granularity Equity ...
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1answer
301 views

How trading in currency pair works, underlying techniques and mechanisms

I am somewhat experienced in Forex trading, but I have a question which has bothered me for quite some time. If we for instance go back in time four months, to before the beginning of value loss the ...
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2answers
374 views

Historical Data on $/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
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3answers
106 views

Forex buying 2000+ pip difference [closed]

I did a mistake just now and bought 2000+ pip difference USD/RUB. (I tought Its 2.0 but 2,0) I can't contact to forex office because its 2 AM here. now It shows 5k+ USD loss. I am in panic right now. ...
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3answers
58 views

What is meant by “position at a given time” in the context of a series of forex trades?

Suppose you are only talking about a single currency pair, say EUR/USD. Throughout some period of time, you engage in trades with various other parties, sometimes buying, sometimes selling. The rates ...
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0answers
92 views

How to reduce fx currency pairs ? PCA or other tools?

I have 19 currency pairs like USD.AUD, USD.CAD, etc. Also 82 cross currency pairs like AUD.CAD, EUR.AUD,EUR.CAD etc. When I look to their graphs, most look similar, so I want to reduce number of pair ...
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0answers
20 views

What's the best filter to implement in order to assess the persistency of a FX devaluation?

I'm trying to to analyze the impact of a FX devaluation in companies' exports and earnings?
2
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0answers
106 views

Scale of Market Quakes Computation

I would like to reproduce the results in the paper "The scale of market quakes", from T. Bisig, But I am getting stuck at the computation of the Fourier Coefficients in equation (4). They are defined ...
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1answer
90 views

What is the required Risk/ Reward ratio in Forex? [closed]

It is usually taught in forex training courses that the risk:reward ratio should be 1:2. My question is: why is it 1:2 but not other ratio? Also, I am new to forex trading. To what level of technical ...
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2answers
525 views

What software should I use for forex arbitrage?

These are my requirements: Speed of lookup & update Speed of crunching large numbers and combinations The exchanges I want to connect to will mostly provide json feeds to their orderbooks & ...
3
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3answers
97 views

Modelling currency exchange rates timeseries data across re-denomation dates

I am working with data for an exotic currency, that has been re-denominated a couple of times during the twenty years of data that I have. What is the best way of 'normalising' the data, so that I ...
2
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1answer
94 views

hedging with a 3 month fx forward every month

I think this is a bit odd question. Let us say I want to hedge my fx exposure every month but using 3 month forwards . How can I do that ? Is it not easy just to use 1 month forwards ? I recalculate ...
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2answers
109 views

Impact of NZD mid-day EST Roll forward

Was taking a look at an NZD spot deal that was traded on a Friday for value the following Tuesday (t+2). Somehow this trade became classified as a forward by our back office systems (dealer says they ...
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2answers
226 views

Exchange rate model and Martingales

In exchange rate model explanation, "...If under the domestic risk neutral measure $Q_d$, the process $X(t)$ satisfies $\displaystyle \frac{dX(t)}{X(t)}=\sigma dZ_d(t)$ Since $Z_d(t)$ is ...
2
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1answer
76 views

Correlation Multiple Currencies

If i have a portfolio of stocks from different currencies and i want to generate a correlation matrix from the stocks, how is the correct procedure ? Imagine a portfolio which the base currency is ...
6
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2answers
208 views

Looking for Research Paper on Creation of Currency Baskets

I came across a paper, not sure it originated from academia or a blog or such, that reported on applying principal components to build currency baskets from a set of individual currency pairs and to ...
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0answers
65 views

Negative Risky vs Negative Butterfly

I understand that in regard to FX options, a volatility smile with negative Risk Reversals is effectively indicating that the spot market for a given currency pair is in decline (puts over). In ...
2
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1answer
80 views

How does trade deficit affect the economy of a country

How does trade deficit for a prolonged period(say 10-15 years) affect a country's economy? I have read that it should affect it adversely, but the US trade deficit has been negative since the mid ...
4
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3answers
179 views

Transaction Costs for Currency Pairs

I have been aggregating some tick data from Oanda's streaming API to try and get an idea of the relative cost and best time to trade different currency pairs. The idea was to plot the spread of the ...
2
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2answers
121 views

How current prices is formulated in markets?

I can't understand how immediate prices are formulated in stock & currency (Forex) markets. I have been informed that every tick means one new deal that closed in current price, but this can't be ...
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0answers
178 views

VaR mapping - Forward Foreign Currency Contract

I have a question about VaR mapping for FX forwards. Please bear with me while I outline the problem. Philippe Jorion's book discusses VaR mapping; a means to break down complex instruments into ...
0
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1answer
107 views

Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
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4answers
297 views

Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
0
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1answer
127 views

Forex trades: what time zone are trade and value dates specified in?

When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There ...
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2answers
605 views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
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1answer
132 views

FX Rate dynamics

Let's suppose USD/EUR price in USD follows a GBM with $$ dS_t = rS_tdt + \sigma S_tdW_t $$ What process does EUR/USD follow in EUR?
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1answer
825 views

Are there Python algorithmic trading libraries supporting forex?

I know about zipline and ultrafinance, but as far as I know, they don't support fx trading. Which libraries do?
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3answers
121 views

How often do banks update forward points?

My understanding is that forward rates are calculated by comparing interbank interest rates of the 2 currencies for a currency pair, with the points being the difference between spot and the forward ...