Tagged Questions

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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Initiating new orders with active “order-session” only?

Is it a must to establish "quote-session" & subscribing to quotes/market data before initiating a "New Order-single(Market-GTC)"? I actually can't see any use of quote-session for trading ...
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'Anchors' for REER/PPP estimates

I'm having trouble trying to understand the concept of 'anchors'. I came across the term in a sentence that said "we use a relative purchasing power parity approach that is based on the longterm ...
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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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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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Why does graphic of log first difference of renminbi look similar to hkd?

This is CNY to US$: This is HKD to US$: Below are the log of the first difference of both graphs above: You can see that apparent similarity on the middle of graph. I thought that they were ...
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How to measure if variance is greater at a certain time of day?

I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis. One market has closed and another market elsewhere on Spaceship Earth is ...
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Finding the corresponding Strike

I have been asked the following question recently, and I was unable to find the solution (I have the feeling that either a data is missing or I misunderstand a notion). Here is the following question :...
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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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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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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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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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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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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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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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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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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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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: ...