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I need to enter a USDCHF position and the size is 1000.

However I want to replicate the same portfolio pnl by using USDEUR and EURCHF.

I know that due to triangular arbitrage USDCHF=USDEUR*EURCHF as a rate. However I couldn't figure out the sizes that can replicate the pnl that I got from USDCHF and whether it needs regular rebalancing given my account currency is USD.

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closed as unclear what you're asking by skoestlmeier, Attack68, Alex C, Lliane, LocalVolatility Apr 3 at 16:40

Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.

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    $\begingroup$ The idea is simple: first you do a trade in the USDEUR (or EURUSD) market to get yourself the USD you want (let us say 1000 USD). This creates an unwanted short position in EUR. You get rid of this position by buying the corresponding amount of EUR in the EURCHF market , which creates the desired CHF short position. These positions are fixed and do not need to be rebalanced. $\endgroup$ – Alex C Apr 3 at 0:26
  • $\begingroup$ I just wanted to wrap my head around this, thanks. It helped. $\endgroup$ – nily Apr 4 at 12:14

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