Questions tagged [currency]

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1 answer
264 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 ...
1 vote
1 answer
702 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 ...
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). ...
0 votes
1 answer
88 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 ...
0 votes
0 answers
71 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 ...
0 votes
1 answer
115 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-...
6 votes
3 answers
887 views

Why does the EUR/USD exchange rate is in fact USD/EUR from a mathematical point of view? Why finance does not use the mathematical notation?

Why does the EUR/USD exchange rate is in fact USD/EUR from a mathematical point of view? By not using the mathematical notation it's a nightmare to compare exchange rates, so why is everyone still ...
0 votes
0 answers
47 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 ...
2 votes
0 answers
82 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
0 answers
86 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 ...
0 votes
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?
0 votes
1 answer
207 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 ...
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?
0 votes
1 answer
176 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 ...
0 votes
2 answers
382 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 ...
5 votes
2 answers
1k 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) ...
2 votes
3 answers
178 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: ...
6 votes
2 answers
1k 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?
0 votes
1 answer
118 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 ...
1 vote
1 answer
103 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 ...
2 votes
1 answer
482 views

Kingdom of Denmark Nikkei put warrants [closed]

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 the Nikkei index (and paid in Yen) and combining them ...
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 ...
0 votes
1 answer
109 views

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? ...
3 votes
3 answers
172 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 ...
4 votes
2 answers
305 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 ...
8 votes
4 answers
573 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 ...
0 votes
0 answers
318 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. ...
0 votes
0 answers
660 views

How to reduce fx currency pairs ? PCA or other tools?

I have 19 currency pairs like USD.AUD, USD.CAD, etc. Also 82 cross currency pairs like AUD.CAD, EUR.AUD,EUR.CAD etc. When I look to their graphs, most look similar, so I want to reduce number of pair ...
3 votes
3 answers
471 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 ...
1 vote
1 answer
1k 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.
2 votes
2 answers
846 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 ...
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 $S_t$...
0 votes
1 answer
285 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 ...
-2 votes
1 answer
813 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 ...
1 vote
1 answer
75 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 ...
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?
0 votes
1 answer
154 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 ...
0 votes
0 answers
80 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?
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 ...
0 votes
1 answer
337 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:
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=...
0 votes
0 answers
221 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 ...
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 ...
0 votes
2 answers
403 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 ...
2 votes
5 answers
481 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 ...
0 votes
0 answers
96 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 ...
0 votes
1 answer
273 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-...
0 votes
1 answer
66 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.
0 votes
1 answer
580 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 ...
2 votes
1 answer
727 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}...