Questions tagged [currency]
The currency tag has no usage guidance.
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1answer
38 views
Why currencies and futures contracts can be considered as assets with known yields?
I understand why stock index can be considered as assets with known yields due to the dividends.
But why currencies and futures contracts can also be considered as assets with known yields?
In the ...
2
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2answers
70 views
Group name for currencies, equities and other financial products
I am working on a financial software system that deals with crypto currencies.
This system has a model called 'Currency' that describes for example 'BTC' and market for which there is a 'base' and '...
-1
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1answer
39 views
Hong Kong stocks and HSI - Turnover and market cap in HKD?
Hello sorry newbie questions - HSI (Hang Seng Index) and stocks under it, dividend,Turnover and Market Cap always in USD or in local currency HKD?
This is actually a broader questions for Asian ...
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0answers
35 views
Do Reuters or Eikon have intraday exchange rate data for minor currencies?
I need historical intraday exchange rate data (for a minor european currency - EURRSD) for my thesis. Not necessarily tick by tick - just prices at any interval below an hour will work.
I guess there ...
2
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1answer
69 views
Transform Fama French Returns to Euro
I constructed a global portfolio and calculate it's daily return in Euro.
Now i want to do the regression with the Fama-French daily factor-returns (HML, SMB). However, these returns can only be ...
1
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0answers
150 views
Quanto Factor - FX Forward
In the paper Quanto Options by Uwe Wystup the "quanto factor" $Q$ is used to describe forwards/options when quanto-ed into a different currency, e.g.
$$\text{Quanto Forward Value} = Q \cdot e^{-r_Q T}...
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2answers
74 views
credit spread ajustment considering currency
I would like to understand what is credit spread basis currency ajustment.
credit spread implied by a usd bond won't be the same as one implied by a chf bond, isn't it ?
Do you have any elements (...
0
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0answers
48 views
Benchmarking a foreign portfolio with SPY?
Here is something I'm struggling with for a few days now. I'm an European individual investor managing a small portfolio in EUR. However I mainly hold US securities, in USD. I do not hedge my exposure ...
5
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1answer
264 views
Modelling EUR/USD rate with Ornstein-Uhlenbeck model
I have a data set of daily EUR/USD rate for time period 2000-2018.
My goal is to model future behaviour of this financial time series using Ornstein-Uhlenbeck model: $$d X_t = \alpha (\theta - X_t) ...
0
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0answers
14 views
Where to find historical data on currency prices across exchanges? [duplicate]
I am looking for data on the prices of the exchange rates of various major currencies over the last 6 months. Preferably I would be able to find data on the exchange rates offered by various ...
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0answers
71 views
Calculating Historical Currency Returns for Backtesting
I am trying to calculate a historical daily series of developed market currency returns versus the USD, which can be used in backtesting currency strategies. In real time, one would buy a currency ...
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0answers
107 views
Implied Volatility of cross currency pairs
Been looking for this...
Is there any way we can infer directly, say GBP-JPY's 1-year volatility from GBP-USD's and USD-JPY's?
Many thanks.
4
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2answers
157 views
How to find an initial equilibrium benchmark portfolio that includes currencies for Black-Litterman model
We're working on a term project to adjust B-L model to yield robust results. From our readings, we resulted in that initial benchmark portfolio is constructed by using market capitalization weight. ...
0
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2answers
85 views
Do we model nominal or real prices of assets?
The answer is probably obvious, but interestingly enough, I was not able to find it in explicit form in the mathematical finance textbooks.
So when Shreve says in paragraph 5.2.2 of SCF-II:
...
0
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0answers
38 views
How come a currency value does not diverge when exchanged with other currencies
Let's consider GDAX, the crypto currency exchange.
On one side, we have the BTC/EUR pair. Trades are made in Euros and the price is fixed by supply and demand. I can see all the trades in Euros and I ...
1
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0answers
37 views
Transform 24hr cumulative volume to sampled periods
I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price.
The time is the time at which the data was received from the exchange, price is the last price ...
1
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0answers
45 views
Minimum Lower Partial Moment (n=2) hedging ratio
I would like to better have understanding on the minimum-LPM hedging. I have understood that the co-LPM matrix cannot be modeled by GARCH type models that are used to estimate to the covariance matrix,...
4
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1answer
143 views
Existential question about currency exchange Risk Factor
Ciao All,
I'm working to a problem about sensitivities for products with several ccy and this questions came out.
For simplicity consider a linear product (a simple cash flow) w.r.t. the ccy ...
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0answers
121 views
Where can I get Currency options historical data?
where can I get historical data for currency options?
For most part, google gives me links to binary options and other shady webpages.
0
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0answers
47 views
Calculating total market price of security
Typically securities trade on a primary exchange and as such the 'price' of that security is quoted from the primary exchange.
For example Exxon (XOM) stock is listed on the NYSE, even though there ...
2
votes
2answers
138 views
Is order amount related to base or quote in a currency pair?
Say I have a currency pair GBP/USD at rate 1.45, buying 1 GBP costs ...
0
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0answers
234 views
Normalizing currencies with different currency pairs
If I have a set of currency pairs and their exchange rates at a given time, as well as the amount traded such as:
...
0
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1answer
175 views
Put-Call Parity on Currency and Binomial Trees
I tried solving the below problem without knowing the shortcut of thinking about this in terms of a put versus a call. I can't seem to arrive at the correct answer using my method and I'm wondering ...
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1answer
49 views
Calculate price variance caused by denominating currency
I would like to calculate asset correlations while excluding movements resulting from the denominating currency (as much as possible). My common sense tells me that any two assets with the same ...
1
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0answers
163 views
Decreasing Forward FX rate curve
i've constructed a Forward FX curve using the formula:
$F= Spot \frac{(1+I_b*n/N)}{(1+I_c*n/N)}$
when i get these Forward rates for 1 month, 3, 6 till 1 year i got a decreasing forward Fx Curve
How ...
-2
votes
1answer
125 views
Why would a weaker dollar keep borrowing costs low
I was reading this article and I am puzzled by this phrase:
A weaker dollar has made it easier to sell U.S.-made goods overseas and kept borrowing costs low.
How can a weaker dollar keep borrowing ...
3
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0answers
237 views
Regressing non-USD returns on FF 3-factor returns
I am analysing some portfolio returns from the perspective of a Danish investor, i.e. in the local currency, DKK.
I want to regress portfolio returns in DKK on the returns of a 3 factor Fama & ...
2
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0answers
47 views
cross currency swap expiry principal amount
Quick question on cross currency swaps. On expiry, principal payments are exchanged again. What happens when on expiry, the exchange rate is not the same as when the swap was first entered into?
The ...
2
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0answers
32 views
Is there a reliable International Currency Exchange rates provider in JSON format
I am looking for a currency exchange rate provider (preferrably) JSON format , that is free/open and also reliable.
Anybody here have any experiences working with some solutions like this?
Cheers!!
1
vote
1answer
47 views
book of options hedging case of floating rate
i'm an intern in bank at Morocco that sells vanilla options on EUR/USD , EUR/MAD , USD/MAD , it s using delta hedging strategy to cover they're position . But because of the switch to floating ...
0
votes
1answer
126 views
Currency/Forex Hedging using Momemtum Strategy
Mainly the two ways I could find on currency hedging are using forwards (to lock in a future exchange rate) and options. However, I'm curious whether currency can be hedged via some commonly known ...
0
votes
1answer
84 views
fx : HistSim VaR for currency NDFs
I might be asking a very simple question for the FX experts...
I would like to check the HistSim VaR process for a currency NDF.
Given the PV for the product is defined as:-
(f(T) - K)*...
0
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1answer
356 views
How to take into account currency risk when optimizing portfolio?
I have a portfolio of foreign stocks. All stocks are denominated in foreign currency. I need to compute returns and risk metrics in national currency which is different from stocks currency. Stocks`s ...
2
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1answer
139 views
Option Delta Conversion for currency pairs
Assuming I have a USDJPY put option at strike 100 (1USD = 100Yen) and the delta is D1. What is the delta of a corresponding JPYUSD call option at strike 0.01 (1Yen = 0.01USD) with the same maturity? ...
0
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1answer
306 views
fixed-for-fixed currency swap interest rate discrepancy
I was going through some basic stuff and I found something that I couldn't really make sense of. Lets say that two entities A and B engage in a currency swap. A pays 3% on USD, while B pays 2% on JPY. ...
0
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1answer
1k views
Convert USD yield into EUR yields
I want to calculate the EUR equivalent yield from the USD yield curve.
For example :
how to translate the USD libor curve into an EUR equivalent yield curve ?
Do I need to use FX forwards or is the ...
0
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2answers
336 views
Understanding the payoff of currency options
I am self-studying for an actuarial exam and I am having a hard time understanding what happens when a currency option pays off.
Consider the below problem. The payoff at $C_u$ would be $\max(x_u - ...
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1answer
51 views
translating performance from EUR to USD [closed]
can someone please let me know how to translate a performance return from USD to EUR. For instance, I have a time series (return) over 7 years from an US hedge fund and would like to translate it into ...
0
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2answers
85 views
'Anchors' for REER/PPP estimates
I'm having trouble trying to understand the concept of 'anchors'. I came across the term in a sentence that said "we use a relative
purchasing power parity approach that is based on the longterm
...
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0answers
101 views
calculating long short portfolios currency exposure
I have calculated the currency exposures of a long short portfolio simply by summing the weights of each stock.
However I was told that I need to incorporate the dollar borrowing (short dollars), I ...
0
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1answer
8k views
How to work out the forward outright price from the bid/ask quotes?
I'm facing this problem:
Spot AUD/USD is quoted at 0.7634/39; six-months swaps are
112.1/111.1; at what forward outright rate can a price taker sell USD value spot/6 months?
On the spot side, ...
0
votes
2answers
67 views
Portfolio Theory: Must VarCovar Matrix be based on return var/covar?
I am trying to estimate the minimum variance portfolio where the assets are currency derivatives. In the specific case it does not make sense to base correlations or variance on asset returns. I am ...
1
vote
4answers
142 views
Where can I get json currency data feeds every millisecond?
I have been looking for free or paid json data feeds on currencies for long.
I have come across:
currencylayer.com
Oanda
XE
The problem is that I really need millisecond based updates.
Can someone ...
2
votes
2answers
338 views
Best practice for international Fama-French analysis
First I have to admit that I have never been really good at thinking about the implications of investments in different currencies. I don't know why but it makes my head spin, this is why I am no FX ...
5
votes
1answer
818 views
Fama-French Factors in €
I am having a bit of a problem with currency conversion issues. What I do: I sort European stocks based on their book-to-market ratio, each year I form a portfolio (equal-weight) with the 10 stocks ...
6
votes
1answer
1k views
Is trading mean reversion of small principal components of prices profitable?
Many have told me that it is a good idea to look at the third principal component (PC) of yield curve movements, as well as third and fourth PC of G10 currencies. They claim these PCs represent "...
5
votes
2answers
127 views
Calculating probability of Yuan's slump from options market
http://www.bloomberg.com/news/articles/2016-01-06/if-options-traders-are-right-the-yuan-s-slump-is-far-from-over
Contract prices indicate a 79 percent probability that the currency
will weaken ...
2
votes
1answer
215 views
Weights in Portfolio Attribution when considering Currency
I'm performing a simple Portfolio attribution with the Brinson 1985 model where returns are decomposed into both an allocation component and a selection. Using the formula, I first did the ...
4
votes
4answers
2k views
Difficulty understanding put-call parity for currency options
I am self-studying for an actuarial exam on models for financial economics. I am having difficulty thinking about the put-call parity for currency options, specifically how use the notation. Here is ...
2
votes
4answers
752 views
Bond portfolio hedging against currency risk
How do I hedge a bond portfolio against currency risk?
Ideally I'm looking for books or other references on this topic.
