Questions tagged [currency]

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57 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 ...
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47 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:
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1k 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?
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67 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 ...
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77 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=...
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49 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 ...
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23 views

Appropriate time-lag for financial correlation analysis and how to address different currency exchange rate dates for dep. and indep. variables?

Quick introduction I am supposed to use a multiple linear regression model to determine the correlation between the market capitalization of a subset of european companies (primarily in Switzerland, ...
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36 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 ...
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48 views

How to compare or prove economic/statistical similarities between two models with differing independent and dependent variables?

I have two datasets: The relationship between Bitcoin prices and other cryptocurrencies. The relationship between EUR prices and other currencies. What would be the most appropriate way to prove ...
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49 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 ...
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27 views

Get a list in R or Python of all companies that trade in US & Canadian Currencies

I've come across several companies on yahoo finance that trade in USD and CAD. For instance, NVMDF and NM.CN are the same ...
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1answer
61 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-...
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218 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 ...
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1answer
42 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.
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1answer
31 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 ...
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1answer
58 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.
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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 $S_t$...
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1answer
80 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 ...
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116 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 ...
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28 views

FX forward hedging with rollover

I was wondering when you enter a swap at the forward expiration under which scenarios you are hedged or not. For example, a European exporter buys a fwd to hedge a delivery of $1m in 6 months (long 6m ...
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1answer
120 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 ...
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1answer
79 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) ...
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1answer
123 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 ...
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2answers
60 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 ...
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101 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 ...
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29 views

What is the relationship between volume and size?

Here is a snapshot of information about the last trade (tick), best bid/ask and 24h volume of BTC-EUR: ...
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1answer
67 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 ...
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75 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). ...
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37 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 ...
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1answer
551 views

How to calculate the Fx Forward Points for 3M

I'm trying to find the FX Forward Points for 3M, the same as in the table. However, in the conventional way (Forward points = Spot x (USD Rate - EUR Rate) x 90/360) I get a different result. Can ...
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1answer
120 views

CDS currency and reference obligation currency

I have been reading a lot of posts on this topic, but still cannot find a definitive answer though. If there is a CDS on a corporate reference entity in a currency denomination, does that imply there ...
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1answer
364 views

why is ADBSC currency positive?

Hi guys I am new to cross currency. Could anyone explain why ADBSC <curncy> (Australian Dollar 3 month cross currency basis) in Bloomberg is always ...
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1answer
133 views

Alternative strategies for hedging customer FX positions in spot market

Generally, if an FX broker decides to hedge a customers' position, it automatically hedges the customer's trade to Liquidity Providers when the trade occurs in the spot market. Let's say, the customer ...
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108 views

How to determine exchange rate dynamics in currency derivatives

I need some guidance regarding exchange rate dynamics in currency derivatives. Following three dynamics are defined below, $\frac{dS(t)}{S(t)}=\alpha dt+\sigma dW(t)$ ; the stock dynamics in the ...
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1answer
79 views

What are “local” and “foreign” interest rate in this formula? [closed]

I found this formula to find fair value of a forex pair: FV = Spot × e(local interest rate−foreign interest rate) × T Taken for example AUDUSD, Spot is AUD per USD. T is the time to maturity of ...
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1answer
52 views

How currency swap works for big companies bond and cash management

Suppose a big company A holds 10 Million USD at T+0, and A knows that it will pay 9.9 Million CHF to buy a bond at T+1, why would company A be willing to enter a currency swap to buy CHF and sell USD ...
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1answer
390 views

What does **Long Call EURUSD** mean?

What does Long Call EURUSD mean? Does it mean Long Call EUR and Short Put USD? When we draw payoff do we consider only w.r.t. to CCY1 i.e. EUR in this case?
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1answer
439 views

Relation between ATM, RR and BF

In FX derivative market, why does vol spread of ATM > RR > BF? ATM is the most liquid and intuitively it should have the lowest spread. Please help me in understanding the rational behind the above ...
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161 views

Kingdom of Denmark Nikkei put warrants

I have read in a book from Emanuel Derman that Goldman Sachs manufactured a derivative in the early 90's that consisted of buying cheap puts on th Nikkei index (and paid in Yen), combined them which a ...
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1answer
847 views

How to understand interest rate bid/ask and apply client mark-up in Tom/Next Rollover Swap Point Calculation

When I am reading materials in swap point calculation for FX Tom/Next Rollover, I am confused with the market interest rate bid/ask. Using an example: I traded on ...
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3answers
133 views

Why do higher interest rates increase the value of the currency?

I've been trying to study about interest rates and foreign exchange. First of all when people say interest rate in this context do they mean interest rate set by the central bank like federal reserve (...
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4answers
987 views

Which rate to use as a risk free rate in emerging markets?

By looking at Fama and Frenchs global Portfolios, they just use the USD-RF rate as the risk free rate, because they converted their Returns to US-Dollar. Im currently estimating Strategy Returns in ...
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2answers
297 views

Currency Hedged Excess Return

In the famous article "Global portfolio optimisation" of Black and Litterman, the authors defined the excess return on currency-hedged assets as the following : $$ E_t = 100 \frac{P_{t+1}X_t}{P_tX_{...
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FX Options Greeks: Is there a meaning in converting the sensitivities values in different currencies?

Suppose you have a Call on JPY, domestic currency is USD The price will be in USD Let's say delta = 0.93 Does it make sense for any reporting reasons to convert this value into JPY ? What is even the ...
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71 views

Basic FX-Forwards trading Guide [closed]

What fundamentals or other factors should one follow to trade currency Forwards intraday?
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48 views

How do you hedge with delta futures if payment is unsure?

A Czech company has a payable of 1,5 mil EUR that has got a settlement at the end of the current month and at the same time it is expecting a payment of 1,5 mil EUR at the half of the current month ...
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1answer
60 views

How are asset backed cryptocurrencies priced?

I am trying to understand the pricing of crypto currencies. Assuming there is a fictional cryptocurrency that is pegged (say) the Chinese Renminbi and the price of Wheat (the relation being the ...
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67 views

Performance Call on a Futures

I'm not a 100% on when a margin call is on a group of future contracts... The contract attributes were: ...
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49 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 ...
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2answers
93 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 '...