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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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    $\begingroup$ 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 '19 at 0:26
  • $\begingroup$ I just wanted to wrap my head around this, thanks. It helped. $\endgroup$ – nily Apr 4 '19 at 12:14

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