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In a nutshell, the client only manages their own position, with the client credit line provided by the broker, whereas the broker manages all their clients' positions, using the broker credit line with their provider banks. You can work it out from there. Interest is presumably to do with cash deposits and loans.


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a hidden markup in a dealer's favour? Who was the client? What tier of pricing are they on? What's the counter currency? If it's CAD or TRY then spot is T+1 not T+2. But I think "nonefaster" has the answer. What does the NZD roll forward time mean? Do you mean, say, that the forward desk changes its pricing source from London to New York? The forward ...


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Note NZD trade dates change at 7am Wellington which is 3pm Eastern at this time of year (not mid-day). Assuming your trade was on Friday after 3pm EDT then: - Trade Date would be Monday. - Value Date of Tomorrow would be Tuesday (a short dated forward) - Value Date of Spot would be Wednesday. You mention your value was Tuesday - I would therefore agree ...


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The solution of your SDE is known as the Stochastic Exponential: $$X_t=X_0e^{\sigma Z_t-\sigma^2t^2/2}$$ (You can check this solution by applying Ito to the function $f(t,Z_t)=\ln X_t$.) Taking the expectation of $X_t$ to check its martingale property, since $Z_t\sim N(0,t)$ then $E(e^{\sigma Z_t})=e^{\sigma^2t^2/2}$: $$E(X_t)=E(X_0e^{\sigma ...


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Most of the time, when you have a simple SDE without a drift, it's a martingale because the Wiener process itself is a martingale. In your example, you have a constant with the Wiener process, therefore the whole process must also be a martingale because the expectation is clearly X(t). However, we can't conclude a driftless SDE is always a martingale. ...


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Try the BIS, they are the experts in this area. http://www.bis.org/statistics/eer/ There are two papers there which explain the methodology behind their currency indices.


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Here is a good explanation by the SF Fed. In a nutshell, there is the current account (trade deficit/ surplus) financial account (asset bought/ sold overseas) and the capital account (intangible assets, usually negligible). The sum of the three for each country is zero by definition. Therefore the trade deficit must be accompanied by a financial account ...


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In addition to FX currency cross rates and interest rates, several other potentially useful inputs are: 1) Economic data (GDP, inflation rates, employment figures) for the specific countries whose currencies you are interested in. While these data may be useful indicators, there are however two problems: Firstly the granularity of the data. If you are using ...



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