New answers tagged fx
If I interpret your question below correctly: I don't understand why the cash flow for the EUR spot long position is being calculated the way it is. It makes no sense to me. Seeing as it is a spot rate why is it's cash flow not simply spot * 100 MM EUR notional ? You want to know why Jorion takes 100MM EUR * spot * 1/(1+eur_rate) instead of 100MM ...
Interactivebrokers is also an excellent platform thats been around for ages, and has api interfacing
One of the spread betting firms in the UK (IG Index) has an API freely available (at https://labs.ig.com/) that provides streaming FX rates. You need an account to access the API, but you can sign-up for free and start using the API. They have a C# SDK available so you should be able to get up and running quite quickly. Hope this helps.
I am not sure what the purpose of your volatility calculation is. So, frankly, the question does not make 100% sense to me. However, countries do not engage in trade with just one other country but with many, so from an International Trade Theory point of view looking at a single bi-lateral rate (even an important one like SLOVAKIA/EUR) is not enough. ...
Bloomberg's programmable plugin will do this. So will Reuters or Activ Tick or any other number of manage data brokers. All it involves is signing a contract and paying. I think you'll need to flesh out your question a bit more to get a more detailed answer. Interactive brokers does offer a fair bit of data in "real time", assume its a few seconds ...
The volatility goes to 0 once the crown is pegged to the Euro. The value of an exchange rate between Currency1 and Currency2 the the ratio of the value of Currency1/Currency2. The realized volatility of a currency pair is the usually measured as some trailing average of the daily log-changes in this ratio. After the conversion was made the crown at a ...
The CME' Fed Fund Futures are what you are looking for. http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html On settlement day they settle at the average overnight rate set by the Fed during the contract month.
Today (1 day after the fact) the following headline appeared in the Financial Times: "September Fed rate lift-off put in doubt, Fallout from China’s currency move turns market mood". If true, this would certainly explain why the USD declined (i.e. the interest rate rise that everyone expected has been postponed). However, in my experience it is very hard to ...
EBS and Reuters are major FX spot price discovery sources, but CME futures can be used as a spot price discovery source as well, as well as smaller venues and exchanges. They are all liquidity pools. The typical situation depends on the traders and the machines they use (and perhaps geographic location) but there is basically no difference between spot and ...
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