New answers tagged currency
You wrote "the quotes I have for the swap don't look like rates". The swaps are quoted in terms of "forward points" which have to be added or subtracted from the spot quotation. So for example if Spot AUD/USD is quoted at 0.7634/39 and six-months swaps are 112.1/111.1 it would mean that the 6 month swap is quoted 7634+112.1 pips i.e. 0.77461 on one side and ...
You need to model the underlyings, price the derivatives, and then measure risk.
It doesn't make sense to use the (co)variance(s) of asset values; if you did, by cutting an investment's share of the allocation by half, you would also cut its variance by a factor of 4. In a meaningful portfolio design, the volatility (variance) of an asset, by itself, is the same no matter how much or how little of your portfolio you put in it. Why ...
This is a resource you may want to look at. https://personal.vanguard.com/pdf/ISGHC.pdf Additionally, this books seems good for this particular topic: Risk Without Reward: The Case for Strategic FX Hedging. Also, take a look at Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies edited by Frank J. Fabozzi, Lionel Martellini, ...
There are so called mid-rate reference price providers who eventually offer newsfeeds, however, the answer will very likely be a commercial service. The otehr path would be to contact liquidity providers and / or exchanges directly and ask for API / feed access , which again , will most likely be a commercial service.
If you want millisecond updates, you need to use technologies other than json.
You could try True FX or open an account with Interactive Brokers
This is a much discussesd topic in the litrature, I recommend you to read FF2012: "Size, value, and momentum in international stock returns". Best practice is to create Europe, country or even sector specific factors.
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