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Question on unwinding cross-currency swap

Hoping someone can help me understand 'Notional Exchange Unwind Value - NEUV' when terminating a cross currency swap prematurely. Where the NEUV is essentially the profit/loss of the notional exchange ...
Windyship215's user avatar
0 votes
1 answer
101 views

How to Correctly Price Currency Forwards/Futures [duplicate]

I am trying to understand how to price a forward contract on the GBP/USD currency pair and then compare my answer with current future prices on GBP/USD. If my understanding is correct I believe we ...
user71149's user avatar
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0 answers
72 views

How do currency hedged ETFs work?

I am trying to understand how currency hedged ETF returns work with a simple example, namely, that where a Swiss investor can choose between buying a S&P-500 index fund which either a) hedges the ...
Maximilian Janisch's user avatar
0 votes
1 answer
116 views

Is it possible to exchange one stock for another without cash as an intermediary?

According to my research, it is possible to exchange one stock for another without selling to cash and then buying the other. The process is known as a "stock-for-stock" or "share-for-...
anonim's user avatar
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0 answers
48 views

Arbitrage finding in the currencies markets

I was wondering whether anyone can improve on the following arbitrage finding scheme in the currencies market. The following is modified from the book of Capinaki and Zastawniak called Mathematics for ...
Joselin Jocklingson's user avatar
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0 answers
36 views

How much can news events affect the volatility of a currency relative to another?

GBPUSD is usually more volatile than USDCAD. However during U.S related news releases like the NFP, is it possible for the USDCAD to experience significantly more volatility than the GBPUSD?
FawaMop's user avatar
0 votes
1 answer
120 views

Can you actually earn the carry return in FX? [closed]

I know that carry is an important factor to value currency. However, it is not obvious to me how you can actually earn the carry return, and if as a pure currency investor, should not you be ...
Peter's user avatar
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1 vote
1 answer
108 views

API for stock price data for commercial re-distribution? [duplicate]

(I know there are existing questions on this topic, but none seem to be for commercial re-distribution use, so please keep this question active.) It seems there are many websites offering API for ...
Cool_Coder's user avatar
1 vote
2 answers
2k views

Is there a API to obtain real-time forex data in seconds?

I wanted to get sell, buy and recent trades of a currency in intervals of seconds but was only able to find APIs which offer a minimum interval of one minute (I checked Polygon and Alpha Advantage). ...
yemy's user avatar
  • 113
0 votes
2 answers
397 views

Risk free rate for currency option

I’m trying to price a call option on EUR/GBP exchange rate and it expires in 1 year. Should I use GBP Libor as foreign risk free rate in order to apply BS formula? The pricing date is 02/21/2023 but ...
user66491's user avatar
2 votes
0 answers
55 views

Mispricing models for non-equity asset classes

Despite risk-factor models like Fama/French (1993) or q-theory based models like Hou et al. (2015), others have proposed factor-models to capture mispricing in equities, e.g. Stambaugh/Yuan (2017) and ...
skoestlmeier's user avatar
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1 answer
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PIP Value conversion - How can I convert my Pips? general formula [closed]

So I was wondering, how I can convert for example a 20 pips charge is(Spot: 1.0250 with pips 1.0270) on EURUSD into EURCNH Pips with (Spot EURCNH at 7.3005). Is there a general formula and short-cut? ...
Mostdoisneverdone's user avatar
3 votes
3 answers
175 views

Is there a dollar index against emerging market currencies

Is there a dollar index against emerging market currencies? The conventional dollar index (ticker DXY) is just an index against a few developed market currencies (the DXY is a weighted geometric mean ...
Matt Frank's user avatar
4 votes
2 answers
316 views

Help with reading currency pairs

Please excuse me in advance, as I suspect my question is slightly off compared to the other questions on this website, but I am currently taking a class in International Finance and I have a few ...
George Smith's user avatar
8 votes
4 answers
593 views

How to fundamentally value cryptocurrencies?

Investing in cryptocurrencies is a wild ride. There is obviously a lot of speculation involved but my question is another one: what are good models to evaluate the fundamental value of ...
vonjd's user avatar
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0 answers
339 views

Implied forward rate with forward points

I've been studying the application and derivation of a domestic implicit rate in a FX contract when your input are the forward points and the foreing rate. Let's establish some with some ideas first. ...
Aldo Shumway's user avatar
1 vote
1 answer
721 views

How to compare financial statements of two companies working in two different currencies?

So I am conducting a research on applying Data Envelopment Analysis (DEA) for comparing efficiencies of different companies working in different countries and thereby publishing their financial ...
Syed Askari's user avatar
3 votes
3 answers
489 views

Should Cross-Currency Basis Swaps exchanging risk free rates trade flat?

In the paper "Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps" by Bruce Tuckman and Pedro Porfirio (2003) the authors claim that cross-currency basis swap ...
emot's user avatar
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2 votes
2 answers
871 views

Why would exchange rates follow a geometric brownian motion?

I'm reading Shreve's Stochastic Calculus for Finance. On page 382, he begins talking about exchange rates: Finally, there is an exchange rate $Q(t)$, which gives units of domestic currency per unit ...
user60304's user avatar
-2 votes
1 answer
853 views

CURRENCY ADJUSTED RETURNS: How to adjust stock returns in foreign currency (e.g., EUR) to local currency (USD)?

I have collected monthly stock returns (in %) denominated in EUR and exchange rate EUR/USD. I am trying to adjust the monthly stock returns denominated in EUR to monthly stock returns denominated in ...
Oliver's user avatar
  • 13
1 vote
1 answer
76 views

Simple cross-rate table question

I am trying to self-study and came across this question, I am not sure how to answer this. I think I should transform all of the product's quoted prices to USD then compare them, is that correct? The ...
user4933's user avatar
  • 115
0 votes
1 answer
180 views

Simple three-pair triangulation question

I have a question I came across whilst self-studying and I need to use cross-currency triangulation. I am not too sure how to apply the cross-rate formula, and was hoping someone could show me how to ...
user4933's user avatar
  • 115
0 votes
1 answer
82 views

Currency hedging 3 month sterling libor futures

Each libor contract is 500,000 gbp. Can I hedge it by going short 8 gbp/usd futures per libor to hedge out currency risk considering each gbp/usd futures is 62,500 British pounds?
JamieC113's user avatar
0 votes
1 answer
299 views

Pricing Dual Currency Bond with Forwards instead of Cross Currency Swap

i got the task to price a bunch of dual currency bonds (EUR/GBP/CHF/USD...) and i am a bit puzzled. As the notional of the bond is in EUR but the repayment is in USD, i assumed that for pricing ...
T123's user avatar
  • 533
0 votes
0 answers
84 views

USD and Gold price correlation

Gold Prices and U.S. Dollar Correlation - 10 Year Chart shows the similar trend for USD and Gold price for the last 5 years. Are there known explanations for the correlation?
mon's user avatar
  • 105
0 votes
1 answer
155 views

Why can't central bank reserves ever leave the Fed's balance sheet?

I'm reading Joseph Wang's Central Banking 101 and there are two statements which seem to be contradictory to me, and I'm guessing there's an element of misunderstanding on my part which I'm looking to ...
quanty's user avatar
  • 439
0 votes
1 answer
67 views

Is Fungibility Dynamic or Static

I'm trying to work out if fungibility of financial assets / instruments is dynamic (i.e. it can be applied to a subset of the asset or instrument's properties) or is it static (i.e. it can only be ...
Matthew Layton's user avatar
0 votes
1 answer
351 views

How are currency exchange rates on yahoo finance computed?

I've been looking for the metadata about how the exchange rates on yahoo finance computed, but I cant find anything on the website. Please kindly help me, thank you. This is the example USDIDR=X:
Thomas's user avatar
  • 1
6 votes
2 answers
2k views

If the volatility of pounds/euros = .2 do we know anything about the volatility of euros/pounds?

I think the question here is what we know about $\mathrm{Var}\left(\frac1X\right)$. Is this the right question to ask, and if so is there anything that can be said?
jeremy909's user avatar
  • 333
0 votes
0 answers
229 views

pricing crypto quanto swap and perpetual

https://www.bitmex.com/app/contract/ETHUSD https://www.bitmex.com/app/contract/ETHUSDM21 How do you apply stochastic quanto pricing formulas to quanto crypto futures and perpetuals? I can see couple ...
adam's user avatar
  • 539
0 votes
1 answer
98 views

Central bank of china foreign currency reserves

https://www.bloomberg.com/news/articles/2021-05-31/china-moves-to-cool-yuan-rally-by-raising-fx-reserve-requirement?cmpid=BBD053121_NEF&utm_medium=email&utm_source=newsletter&utm_term=...
Student's user avatar
  • 351
0 votes
0 answers
79 views

Benchmarking currency trading strategy

I am backtesting a currency trading strategy where the base currency is the USD. I am looking for a benchmark to compare the results. Since currency trading is an active investment, I do not think ...
GuPe's user avatar
  • 101
0 votes
0 answers
98 views

when valuing derivatives, we take into account the CSA. question is, should settlement currency also impact?

eg supposing i have a payoff of 100 GBP on 5/5/2025. and my CSA is USD SOFR. and supposing i have another identical derivative, except it's payoff is 100 * GBPUSD spot (in USD) at 5/5/2025 or that its ...
Randor's user avatar
  • 786
0 votes
1 answer
209 views

QuantLib Python currency conversion

A simple code below to do currency conversion copied from QuantLib-Python Documentation. This is failing in the EUR to GBP conversion (in the last line of code). Thank you for looking into this. The ...
Vishnu Devineni's user avatar
0 votes
1 answer
279 views

What is the difference between a non-convertible and a non-deliverable currency?

it seems non convertible (eg CNY) or partially convertible (eg BRL) may be due to capital controls or a currency only used domestically. I was then wondering what is the difference between a non-...
Student's user avatar
  • 351
0 votes
1 answer
585 views

Second by second stock data from Bloomberg API (or anywhere else that is free) into Pandas Dataframe

I need to compile stock price data for ADR and ORD pairs (and the currency between them) into a Pandas dataframe. My initial plan was use Python's requests library and a free Rapid API account to get ...
Cole MG's user avatar
  • 105
0 votes
1 answer
67 views

Non convertible currencies and trade

How importers and exporters sell/buys products if their country currency is non convertible or when non residents want to invest in the country? For example in Brazil.
Student's user avatar
  • 351
0 votes
1 answer
56 views

What determined the weights of a currency in the International Monetary Fund SDR basket(2015)?

I am assuming that the weights of currency in the SDR were establishedby following a transparent process. Are these weights the result of a vote or is there a mathematical algorithm/formula that ...
Mike Cocos's user avatar
0 votes
1 answer
62 views

What quantifiable factors contribute to the globalization of a currency?

Things that come to mind: Size of the economy of the issuing country, size of population of the issuing country, military power( quantified as defense budget) and country's share in world trade.
Mike Cocos's user avatar
4 votes
0 answers
328 views

FX American call option optimal exercise and holding region

Problem I am considering an American call option which gives a domestic investor the right to buy a unit of foreign currency at a strike of $K$ units of domestic currency. I have an exchange rate $S_t$...
user107224's user avatar
0 votes
1 answer
118 views

Rolling to a non-front month future contract?

I hedge my US positions with M6B, a GBP/USD future. Every time I roll my contracts, I ask myself "why is there so little liquidity beyond the next three months?" Surely there are people that ...
Usal's user avatar
  • 15
0 votes
2 answers
421 views

When you rollover a FX Forward, do enter the FX swap at the spot rate or previous forward rate?

from below link: https://www.linkedin.com/pulse/distinction-between-fx-swaps-currency-risk-management-akubue-cfa/ "if the date of settlement of the export proceeds has been extended by three ...
Student's user avatar
  • 351
0 votes
1 answer
133 views

Currency devaluation and banks' solvency

I am quite new to economics and when reading one paper on Russian financial crisis in 1998 came across a sentence: Though temporary successful in bringing down inflation to single-digit annual figures ...
R_quester's user avatar
1 vote
1 answer
112 views

modelling FX with crosses: USD conversion on entry and exit, or just exit?

I am backtesting a model that trades currency crosses (i.e. EurGbp) at a fixed $1 mln per trade and was curious if I need to a) account for my currency exposure to GBP on both ends of the trade or b) ...
trock2000's user avatar
  • 135
1 vote
1 answer
162 views

Who influences Forex prices and by how much?

May question is probably stupid, however I cannot find some reasonable explanation who (and to what extent) is influencing the prices at the Forex market. Most of the stuff I found on the Internet ...
matousc's user avatar
  • 113
0 votes
2 answers
81 views

Extract individual currencies

I have timeseries for a bunch of currencies. For example, USD_NOK, EUR_USD, EUR_NOK, EUR_SEK and so forth. About 75 of them going back about 20 years in Pandas. My goal is to isolate each currency ...
Oeyvind's user avatar
  • 141
1 vote
0 answers
157 views

Where could I get a mathematical background on circular arbitrage?

I am particularly interested in the dependence of profit on the path length (the number of intermediate currencies) and graphical models / algorithms. More specifically: How can we model currency ...
Roger V.'s user avatar
  • 161
1 vote
1 answer
188 views

how to model the volatility of the currency exchange rate

I want to estimate/predict the volatility of the currency exchange rate. I have checked in literature a few models from very simple PPP to econometric factor model forecasting, to GARCH (for ...
Luigi87's user avatar
  • 326
1 vote
0 answers
142 views

Currency of CDS and adjustment of interest rated for country risk

I have question concered currency of the CDS spreads. In the analysis I am conducting, I perform adjustment of interest rates for country risk (CDS could be a reference to reflect a country risk). ...
Damian's user avatar
  • 11
2 votes
0 answers
64 views

Short position in currency forward meaning

Trying to understand what being in a short position of a currency forward means. For example, given a 60-day currency forward at 0.92154 pounds/euro where euro is ...
kgui's user avatar
  • 131