Questions tagged [fx]

The foreign exchange market (forex, FX, or currency market) is a global, worldwide-decentralized financial market for trading currencies. Commonly traded instruments include spot, forward, swaps, futures, and options. The FX market is the most liquid financial market in the world. There is no unified or centrally cleared market.

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40 views

How do the following aspects lead to U.S. Repo shortfalls

A major theme in the markets this past week has been the repo rate hikes and the sudden disappearance of liquidity. Although most are confused as to the main reason, there seems to be a consensus on ...
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37 views

Currency exchange rate

I'm working with monthly data and I need to use FX rate in my model. I have daily data for exchange rate and not sure how to average it over the month. Should I compute simple arithmetic average over ...
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1answer
95 views

Hedging EURUSD with negative rates

I was reading an article and i saw this : Fund managers based outside the eurozone can profit from buying Europe’s negative-yielding government debt thanks to an uplift from hedging the currency. ...
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28 views

Why does change in Sight Deposits reflect Swiss National Bank FX action

I am confused of how the Swiss National Bank's famous FX interventions are reflected in the change in Sight Deposits. Against the backdrop of the ECB meeting, it is said that the SNB has taken ...
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33 views

How to backtest a sample of trades to optimize stop loss on losing trades and profit targets on winning trades?

I have a history of hundreds of executed trades. Given those trades, I want to know if there's a tool or framework that can help me figuring out: What would have been the most cost efficient stop ...
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1answer
66 views

USDEUR instead of EURUSD futures for euros owner

If you own euros and you want to be long on EURUSD, wouldn't it be more logical and with less fees to open a position on USDEUR and do a margin deposit directly in euros instead of convert the euros ...
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1answer
65 views

real time tick data source

Hello i am looking for a free real time tick by tick data for training and analyzing and plotting forex charts but i am searching a lot and i couldn't find any good data feed provider why there is no ...
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2answers
85 views

Expected currency depreciation given sovereign default

A country may default on its government debt (in any sense, e.g. miss a payment) within the next year. How would one estimate the expected (under the risk-neutral measure) currency depreciation by ...
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0answers
50 views

FX Spot Delta market standard calculation (Trader View)

I am just writing my thesis about FX instrument and hedging and one question popped up which I can't solve. Maybe it is silly but cant find anything about it how the delta of a fx spot is defined and ...
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2answers
113 views

FX Correlation Risk from cross ccy pairs

Suppose you are long a TRYJPY call option. And lets say you can delta hedge using USDTRY, AUDJPY, and AUDUSD. In this case I would delta hedge by buying USDTRY, selling AUDJPY, and buying AUDUSD. If ...
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2answers
113 views

Calculating Cross Currency basis swaps

I am trying to calculate cross currency basis swaps for personal use. I generally understand what they are (essentially swapping one currency for another currency on a floating interest rate basis) ...
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1answer
28 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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48 views

Cancelable Forward

How I could modeling a break forward or cancelable forward? Could I use Swaption model or only by montecarlo simulation? I have (X-F) for 2Y but I have option to cancel in 0,5Y by a premium price
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1answer
93 views

FX Futures pricing formula

I'm reading Paul Wilmott's Introduces Quantitative Finance and stuck a bit with formula $F = S(t)e^{(r-r_f)(T-t)}$ for FX futures pricing. I don't get how to incorporate $r_f$ into the formula, could ...
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1answer
53 views

Framework for hedging fx and utilizing correlation between asset returns

Can anyone point me in a direction (research paper, books, ..) which developes a framework/strategy for hedging currency exposure for an international bond portfolio? This paper finds optimal ...
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27 views

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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1answer
50 views

Basic FX-Forwards trading Guide [closed]

What fundamentals or other factors should one follow to trade currency Forwards intraday?
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1answer
125 views

Constructing an FX forward curve

A lot of our clients are currently using interest rate parity as a means of constructing an FX forward curve. For instance, to construct the USD-GBP FX Forward curve, they are using the USD LIBOR, ...
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1answer
42 views

FX Forward last day first day premium

How exactly do you trade the turn of the year/quarter effect (also known as last day-first day effect). How do you track this data, is it directly quoted in the market or is it interpolated?
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55 views

How would one go about pricing a FX future?

What model/equations would I require to calculate the price for a foreign exchange future? This is in an attempt to mitigate foreign exchange risk. Also, how could one measure a business's exposure to ...
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32 views

Option price with underlying growth rate distinct from discount rate

Consider a European style option. The price equation is $$\frac{\partial V}{\partial t} + \frac{1}{2}\sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} + rS\frac{\partial V}{\partial S} - rV = 0 \tag1$$ ...
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1answer
58 views

Covered Interest Rate Parity with FX Spot-Adjustment

The Covered Interest Rate Parity for FX is often quoted simplistically as $$ X_T \quad=\quad X_S \cdot \frac{D^{base}_T}{D^{quote}_T} $$ where $X_t$ is the (projected) FX rate at time $t$ (denoted as $...
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21 views

Parametric Simulation of FX forwards

I need to simulate FX forwards for risk management (VaR) purposes. The problem is that the FX forwards are derived from : 1) Spot 2) int rates 3) and the basis. So the question is how do you ...
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0answers
35 views

Can you derive fx correlations given the historic correlations of base pairs

Say for USDJPY and GBPUSD, I have the historic data and calc the volatility and correlation between these pairs. Because GBPJPY = GBPUSD x USDJPY. Can I calculate the correlation for GBPJPY directly ...
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1answer
72 views

Computing FX forward returns using spot returns and an existing term structure

Sorry for the naive question, I am new to the area. I have YTD spot returns on the USD/GBP pair and a forward yield curve. How would one go about computing the forward returns in 2 years using this ...
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1answer
80 views

pricing deliverable vs non-deliverable fx forwards

I am trying to link these two questions together Pricing a regular FX forward This is a contract (say USD vs JPY) where you exchange 2 currencies at maturity at a pre-determined rate, while no ...
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1answer
63 views

Achieving desired fx exposure with using minimum pairs possible

Let say my algorithm tells me to get the following positions through opening fx positions: CUR NET POSITIONS GBP 236.96379 USD -310.58000 CHF 0.02000 There are 2 ways to achieve this: Long ...
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50 views

Replicating PNLS of FX Portfolio [closed]

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 ...
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64 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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3answers
258 views

Options Delta Meaning of Term [closed]

not able to understand delta in options. Whilst I understand, it is how much the option moves when the underlying moves by 1 unit, I fail to understand, when someone books a currency option, why does ...
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1answer
51 views

How to optimize a series of equations whose outputs are a variable of the subsequent equatinos

The basic question is, given $f(x) = y$ and $f(y) = z$, how can you find $x$ such that $z$ is at its maximum? I can optimize each equation independently, but I do not know how to optimize when ...
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69 views

How can we value NPV for a standard FX Swap?

hope you are all well! Was just wondering how we can value the NPV on the value date for a FX swap - i'm sure it's by evaluating the interest rate payable/receivable from the trade date until the ...
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1answer
237 views

LSV model calibration with only few quotes per maturity

At this link I have asked what is the market standard when pricing options in different asset classes. Based on the answers, the standard for FX and equities seems to be the local-stochastic ...
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1answer
116 views

What is the intuitive explanation for the spot risk in an FX swap?

I am familiar with FX swap and the basis/IR risk they carry. However, know that they have a very small spot risk component which arises from the present value of future cash flows different from the ...
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1answer
76 views

Pricing an fx option in the same currency

Let imagine we have an option from EUR to USD priced in EUR, therefore the payoff for a call is: $$\frac{(S - K)^{+}}{S} = K (1/K - 1/S)^{+}$$ This is basically the payoff of a price of a put on 1/S ...
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326 views

Using QuantLib Python to value FX options using stochastic volatility

I would like to use QuantLib (and in particular the python wrapper) to value FX option using the Heston model. Thanks to http://gouthamanbalaraman.com and all of the articles therein : in particular ...
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0answers
30 views

Granger Causality Equation between daily Carry Trade returns and daily Stock Market returns [closed]

Could someone please kindly help me in regards to a question on the Carry Trade. What is the most widely used equation for the carry trade including the funding and investment currency and what ...
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1answer
83 views

Volatility surface tenors

I don't think this has been asked before, but are the tenors on a volatility surface out of spot date for the currency pair or out of value T+0?
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2answers
82 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 '...
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3answers
175 views

Risk-neutral density from spot prices?

I am currently working on a university project and I hope someone can help me out with a rather silly question :-) I want to analyse the change in the shape of risk-neutral density functions of spot ...
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0answers
50 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 ...
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0answers
48 views

FX Average Forward Pricing

Lookin for documentation on how to price FX Arithmetic Average Rate Forwards. Couldn't find any info on textbooks. Any help is very appreciated.
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89 views

how to trade interest rates outside G10

G10 currencies markets have active FRA markets and apart from NOK, SEK and NZD one can also speculate on interest rates through exchange-traded futures. What's the best liquid way to speculate on ...
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2answers
120 views

Why isn't a quanto adjustment needed in this case?

Suppose we have a contract with payoff $P_Y$ in currency $Y$, where $P_Y$ on a variable in currency $Y$. To calculate the value in $X$, we take the expected payout under $Y$-numeraire $E_Y(P_Y)$, ...
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4answers
115 views

Sending order to Forex or Stocks from Python strategy

I have my own strategy developed in Python. But I couldn't find a reliable method to send, close, and modify orders using Python. Are there any tools that help order management using Python? I also ...
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1answer
124 views

What is the instantaneous FX rate and used for a FX Forward?

Could someone please explain me what the instantaneous FX rate corresponds to and why it is used in the valuation of an FX Forward trade? It is defined as: FX_Instantaneous= FX_Spot-(ON+TN) where ...
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1answer
739 views

Pricing Uneven FX Swaps

I'm trying to figure out how to price uneven FX swaps. I just started on a FX trading desk and have been told that the all-in rate for a 2-legged FX swap is equal to: 1) Quote for market side of net ...
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24 views

Average monthly exchange rates causes translation error in consolidated books

I newly work for a multinational company with a corporate structure such that during consolidation, the books need to be translated multiple times and sometimes back to the original currency. I've ...
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1answer
2k views

Spot/Next and Tom/Next FX forward swaps

could somebody please tell me what is the main difference between Spot/Next and Tom/Next FX forward swaps? I know that both are used to roll spot FX position settlement to 1 day forward but I really ...
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How can currency (USD/TRY) be going up without having a candle before that would close under it?

I am having a hard time understanding how can USD/TRY be going up without having a period before that would close at a point under it. This is from today (2018-10-08 6:12 and 6:50). Is it moving up ...