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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156 views

How to handle currency change in exchange rate volatility measurement

I am trying to measure exchange rate volatility in some countries and I am using their currencies against euro. Problem is that one of them is Slovakia which has changed the currency in 2009 from ...
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2answers
48 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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3answers
93 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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2answers
191 views

How to obtain specific information on FX trading systems?

I'm trying to compare trading venues using a quantitative product selection matrix (and eventually software vendors using a different matrix specifically for vendors), and I was wondering if anyone ...
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1answer
234 views

volatility Table and BS formula

assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"? I am ...
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1answer
100 views

How to work out the forward outright price from the bid/ask quotes?

I'm facing this problem: Spot AUD/USD is quoted at 0.7634/39; six-months swaps are 112.1/111.1; at what forward outright rate can a price taker sell USD value spot/6 months? On the spot side,...
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2answers
61 views

Calculating floating P&L of a FIX-order [closed]

How to fetch floating p/l(current) of a "filled" FIX-Order (either buy/sell)?(by its FIX-ID/order ID) I asked my FIX provider(Integral) & they said, there's no specific tag for that/not a ...
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1answer
52 views

Implied inverse forex pair bid/ask spread

I just wanted to make sure this was correct: If AUD/USD has bid ask of 0.71999/ 0.72032, that implies there is another (theoretical) pair USD/AUD which has a bid ask of (1/aud_usd_ask) / (1/...
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1answer
76 views

can an fx forward price simply be divided into 1 to quote the inverse?

Qu 1. Say I ask for EURUSD 1 week and get prices: 1.120986 / 1.120216 Does that mean to price USDEUR 1 week I can divide 1 / 1.120216 and 1 / 1.120986 and get rates: 0.8921 / 0.8927 Or is that ...
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1answer
87 views

Futures vs. spot for currencies - who is the leader

What is known about interrelation between the currency (say EURUSD) spot prices vs. futures on the the same currencies (traded at Chicago CME) ? I mean what is typical situation - the main price ...
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1answer
85 views

Apply CAPM using returns on a foreign currency as the market returns

I want to analize Bitcoin returns using the CAPM. I was thinking if it makes sense to compare returns of (BTC/USD) against (EUR/USD), taking the latter as the market returns. However, since EUR is ...
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2answers
76 views

Calculating units in a cross currency short trade

If I have a forex account with a broker and a balance of 100 USD, and I'd like to short EUR/JPY, how many units can I short? How is this calculated? Which currency pair do I use to translate between ...
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1answer
47 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
244 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
306 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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0answers
18 views

What is “swap rate differentials” in relation to currency exchange?

So I'm working on a excel spreadsheet that relates relevant drivers for the FX market. In particular, I was told to look into swap rate differentials. I've read that the interest rate differential is ...
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0answers
27 views

Sovereign credit default risk

so I'm tasked with trying to calculate the sovereign credit risk based on a 1 year default probability, and I know that Bloomberg already has a model for the 1 year default probability under the ...
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2answers
69 views

What is the data quality of ask (offer) versus bid quotes in FX markets?

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would ...
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0answers
19 views

Validation of an outright bid/ask computation

Given that the spot USD/CAD (for example) is $1.6120/25$ and six month forward swaps are $27/26$. What would the outright price be? I notice that bid of swap is larger than ask, that implies that is ...
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1answer
60 views

Pricing foreign currency bonds - which approach is more theoretically “sound”?

You own a fixed rate corporate bond in foreign currency (let's say JPY). Your domestic currency is USD. Which of the these two approaches do you consider theoretically better? Discount JPY cash ...
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0answers
25 views

FX Counterparty Risk Modeling

We are building PFE model for FX derivatives including but not limited to outright and barrier options. For counterparty risk purpose, we are assessing whether black karasinski would be good for fx ...
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0answers
16 views

Hedging non-deliverable forward

For a non-deliverable forward, the payoff at maturity is $N(1-\frac{F}{S_T})$, where $N$ is the notional, $F$ is the forward rate predetermined at $t=0$, $S_T$ is the spot exchange rate at maturity $T$...
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0answers
52 views

Where and how can I get FX intraday data for use it in R?

I need FX data (the most accurate possible) for use in R. Right now I have developed a script in Java to download the CSV file (from Oanda) and use this file to read it in R, but I think that is a ...
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0answers
27 views

Silvio Gesell's theory of value of money can it work?

Silvio Gesell was an economist. The scope of science of economy is the value of money. His theory is basically there is one source of money and one sink, source and sink is the same. Thus the value of ...
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0answers
7 views

Is there a free Source for currency forward rates into Excel? [duplicate]

Is there a free (or at least very cheap) service/api out there I might be able use to get yesterday's closing currency forward rates (and spot) into excel/csv without having to copy paste values from ...
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0answers
39 views

The calculation of NIBID rate from 2013 by using NIBOR rate (UIP)

I need to calculate the NIBID rates from 2013. I have the NIBOR as a starting point and some indications but I am still quite confused. I found some advices online, but it does not seem to get me the ...
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0answers
44 views

Calculate Forward Rate under CIP - differs from qouted rates, why?

Hello everyone out there, I am quite new here, but hope you are helping me out, nevertheless. By assuming that we have CIP I want to calculate the 3M Forward rate for EURUSD. I use the known formula ...
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0answers
54 views

Where I can find the conventions used in building an FX volatility surface?

Here are some conventions used in building the EUR/USD volatility surface. I need to validate these fields: Base Currency: EUR Term Currency: USD Spot Lag: 2bd Interpolation Variable: ...
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0answers
118 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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0answers
243 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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votes
1answer
127 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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1answer
166 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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1answer
68 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 ...
-1
votes
1answer
119 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?
-1
votes
1answer
112 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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votes
1answer
45 views

Implied exchange rate

The EUR/JPY exchange rate increased by 20%. The USD/JPY exchange rate increased by 25%. By how much will the EUR/USD exchange rate decrease?
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2answers
1k 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
votes
1answer
73 views

Exchange rate conversion [closed]

If the EUR/USD exchangerate fell by -0,96%, how much has the USD/EUR exchange rate increased? According to the below charts the number would be +0,97% (currently) but I cant figure out how these ...
-3
votes
1answer
82 views

Total number of currency transactions [closed]

All of the Forex volume/transactions are always reported in total dollar amount. I am interested in the number of individual trades. Where can I find this? Granularity doesn't matter, transactions/...
-3
votes
1answer
511 views

Getting started with Forex Trading [closed]

I have $2000 that I can risk losing. I'd like to get started with Forex Trading. Is there some place where I can open an account, get free API access, and write basic programs to play with the data? ...