# Tag Info

0

If you want to hedge a short why don't you buy a call option instead? Have a look at these option strategies for hedging

0

I think you're asking if say a EURUSD CCBS should be discounted on the USD curve (using FX to convert the EUR payments to USD) or on the EUR curve (adjusted for basis). Once upon a time, the two would have been considered equivalent. That is, investing in USD at Libor flat would be equivalent to investing in EUR at Euribor+Basis, so the basis swap is par-...

0

An index has to have a purpose. For example, the FTSE100 tracks the performance of the 100 largest capitalised companies on the LSE; it's purpose is to give the expected return of a fund of those largest companies. It is, therefore, replicable; if I wanted to get the same performance as the FTSE100, I just buy the right proportions of shares as the index ...

0

The article says: Taking the volatility as input these curves will tell me the probability of a maximum price (either up or down) being reached. Using standard deviation of price data a volatility is calculated into a pips per hour number. That's nice. Based on that calculation the "maximal" gives probabilities that a market moves a particular distance ...

2

I don't understand the order book you've set up there: available size at 1.12 is 15 so your FOK (Fill Or Kill) order as defined to fill all, at size 10, will be filled not cancelled. It would be the same for the IOC (Immediate or Cancel) at 1.12 and all 10 will be filled. If you're FOK or IOC order was for size 20 then the FOK would be cancelled and the IOC ...

5

Ask minus bid has nothing to do with the mid price - it is the spread. Generally you see a collection of bid/offer orders resting on different price levels. In the simplest case, you just see one bid at price $p_b$ and one offer at price $p_a$. In this case the mid price is $$p_m = \frac{p_a + p_b}{2}$$ That's all there is to it - you don't need to "...

0

dismissing ask (offer) data in fx makes no sense (not sure if it does anywhere else either).. you need to build your own mid-price (don't just subtract bid from offer like most do unless you run a very simple small clip-size taker model). you then take the mid-price to make your own bids / offers. not sure what you're trying to do - since you mentioned ...

0

Absolute level measures of PPP contain significant measurement uncertainties and can be subject to large revisions. Therefore a comparison of absolute level measures between currency areas cannot be relied upon. Changes in PPP over time however are much more accurate. For this reason, an 'anchor', be it a specific point in time historically, or an average ...

1

re: fx volume majority of fx volume is "unknown", but so is much else in markets. there are ways of estimating volume to feed your models - just don't get overly reliant on it IMO. check out CME T&S and a few spot venues. google Lee/Ready and Tick Rule to get ideas on how to create your own estimation models based on available/accessible data for FX.

0

"Anchor" just means a slow moving, far from perfectly accurate but (hopefully still useful) estimate of value of a currency. The authors start with a PPP estimate (left side), then try to modify it in an ad-hoc manner by using expected inflation differentials (right side of the equation), which presumably adjust more quickly (and are forward looking). So ...

3

It is not a thing. The basic problem is that volume of currency traded is unknown. FX traded almost exclusively over the counter without centralised clearing or reporting. There are no daily volume statistics. The thing that is most commonly done for FX indexes is trade weighting. Changes in a currency's value are measured against the value of a ...

Top 50 recent answers are included