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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32 views

Question about technical analysis indicators

Is there an indicator (if so, tell the name), an oscillator that takes the derivative of the price for n candles (or a similar way)? p.s I understand that I can ...
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1answer
100 views

Undergraduate research topic in options [closed]

I'm an undergraduate student in finance with a pretty solid knowledge of financial mathematics and I'm currently picking a topic for my research paper this year. I have already decided I will pick ...
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2answers
56 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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48 views

Transactions with opposite directions in the future. Which is the best solution?

Given a currency pair and two future dates, I have to exchange the same amount of money but with different directions on these dates (example: my company works in € and I have to pay 1000\$ in one ...
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1answer
39 views

Trading butterfly a long vol or short vol [closed]

Sorry for what could be a naive question. When is the right time to trade a butterfly i.e. (buy 10d call and put vs sell atm all notional flat) is it when implied vols are high or low (relative to ...
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148 views

Maximize account equity over a historic time series

Inputs: array of OHLC forex bars of size N, max leverage L, e.g. 200:1, a fixed bid ask spread S, a fixed lookahead whipsaw window W (e.g. 3 bars long, see below). Desired output: a list of tuples {...
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36 views

Option on Currency Swaps

Typically when I talk about the Swaption contract, we basically fix the Currency and let the Interest rate as the key risk factor. And there are many valuation ...
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1answer
90 views

Deriving forward rate

I want to price a 1 year future under the condition of no arbitrage and based on LOOP. At time T, I sell currency Z and buy currency L. At time $t$, we define the exchange rate as $ZL_t$. The 1 year ...
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Why are FX options vols quoted in 25RR and 25BF terms instead of by strike like credit options?

Credit options follow a quoting convention for the vols based on strike, which fits in neatly with the Black-Scholes framework. So why are FX options vols quoted in terms of 25-delta Risk Reversals ...
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73 views

Is end of month fx rate or monthly average preferable for royalty contract

Should a corporation that receives quarterly royalty income, on products sold in different currencies than the one in which royalties are paid, specify the relevant fx rate as the quarterly average or ...
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1answer
207 views

What's the explanation behind technical trading? [duplicate]

To begin with, pardon my amateurish question. I'm not into trading whatsoever, hence the following text doesn't represent practical expertise, it's based upon a train of thoughts and various sources I'...
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1answer
51 views

Computing FX forward delivery dates for 1M rates on end of the month

Up to now, I have been unable to find a clear explanation on the calculation of the forward delivery date for 1M. I understand that when the spot delivery date is e.g. 14-Jan, then the 1M delivery ...
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57 views

FX convertability modelling: have FX markets ever closed down?

I am working on modelling the risk that a bank's cash in one currency could not be converted into another currencies. This convertability risk has liquidity implacations for the asset liabilities ...
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3answers
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Premium Currency and Volatility

Does the volatility of a Currency Pair depend on the currency in which the premium is paid? For example- will the Volatility of USDJPY change if the premium is paid in USD instead of JPY. Is there any ...
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1answer
55 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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51 views

How to optimise Fixed Income portfolio (Yieldbook) based on YTM, duration, rating and exchange rate

I have a fixed income portfolio built up in the Yieldbook and BBG Port. However due to some bad performance of my portfolio compared to the benchmark I would like to build up an optimisation which ...
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60 views

FX Carry Trade and how to calculate it

I am trying to calculate the FX carry on let's say USDILS for a task. I was given the 3M Forward Implied Yield (ILSI3M CMPN Curncy on Bloomberg) and I need to use this in order to calculate my FX ...
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4answers
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Is this how stock trading works?

I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock Exchange, and I was looking for ...
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1answer
64 views

FX implied yield

Emerging market currencies like IDR, INR, its fx implied yield generally rise in a stressed environment. While for KRW, fx implied yield usually drops in a stress environment. I would assume KRW ...
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70 views

Forex trailing stops - better alternatives?

I've been pursuing the holy grail of trading, short term FX trading, using machine learning. I've experimented with a ton of strategies but mainly those revolving around holding each trade for a ...
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1answer
69 views

Do I use the bid or ask time series to build a model to predict forex and for a backtester

In my tick feed I get real-time bid and ask prices like below from oanda. My question is this. Lets assume I build a time series model to buy eur/usd in the Oanda UI manually. If I were to build ...
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82 views

Is there a scientific significance to Fibonacci numbers in economics?

I am new to the field and have read popular articles on Fibonacci numbers, but I did not find it grounded in academic research and would love to know if there is a research basis for this and whether ...
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2answers
79 views

Is there a way to formulate a Martingale series that will never explode?

Martingale's betting method can be seen here:https://www.investopedia.com/articles/forex/06/martingale.asp My question is if there is a way to put a non-exploding martingale, [There is one attempt to ...
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1answer
50 views

aggregate and convert tick-by-tick using fx data

I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
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1answer
131 views

FX Forward rate agreement valuation in quantlib

I am trying to value an FRA in quantlib Python using the below code: ...
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22 views

Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade

In general most of the forex market closes by 10:00 pm london time on Friday and opens back on Monday morning APAC time , somewhere around Sunday evening London time. I am interested in knowing if ...
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58 views

How do we compute FX volatility for any given FX strike and time to maturity?

I want to implement a function which is passed two inputs: a strike and a time to maturity (which can be arbitrary within a specified range) and returns an FX volatility for this strike and maturity ...
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44 views

How do I calculate FX forward hedge ratio?

Suppose I have a USD holding of 1,000,000 in my portfolio and I want to convert it into EUR in a month's time. I enter into a FX forward contract of the same amount USD 1,000,000, meaning that I have ...
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1answer
54 views

Foreign-Domestic Symmetry

I try to find the proof of the theorem of Foreign-Domestic Symmetry for FX options, but I did not found, Some paper or book, where it is explained? Theorem 2.1 in this paper: https://arxiv.org/pdf/...
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46 views

Is the differential between risk free rates the drift of an exchange rate only in the risk neutral world?

Take for example this passage from "Monte Carlo Methods in Financial Engineering". Is this a result of the risk neutral world or is this the real world drift as well? I've never seen the explicit ...
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64 views

Hedging With Zero Coupon Bonds from The Concepts and Practice of Mathematical Finance by Mark Joshi

In section 2.5 he describes an example of arbitrage-free pricing (attached below). I have a pretty solid understanding of how we arrived at $K' = K\frac{1+d}{1+r}$, but I got a little lost when he ...
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48 views

Is “time value of currency” to be accounted for in returns calculation?

A simple question: When exchanging currency in order to finance an investment, is it standard/best practice to adjusted for exchange rates when calculating the NPL of that investment? For example: I, ...
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1answer
107 views

FX convention and volatility calibration

In general, call/put options are quoted with respect to their Black-Scholes volatility. In the FX market we define the risk reversal volatility as $$\sigma_{25-RR} = \sigma_{25-Call} - \sigma_{25-Put}...
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2answers
191 views

Converting time bars to tick bars or volume bars in python

Recently I've started reading Advances in Financial Machine Learning by Marcos Lopez de Prado. In the second chapter the author defines some essential financial data structures, like tick bars, volume ...
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36 views

LIBOR OIS equation - Discount factor

I've seen this equation floating around : XCCY = FX OIS + USD LIBOR/OIS - EUR LIBOR/OIS. This equation is intuitive however there's a mention that discount factors between the two need to be taken ...
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1answer
121 views

FX ATM-volatility quotes

Is the implied volatility ATM the same for a currency pair as for the inverted currency pair. I.e, can I expect the same volatility quote ATM for (for an instance) EURUSD as for USDEUR? And does this ...
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1answer
54 views

FX quoting convention

I saw the quote as this: EUR/USD 1m ATM 0.3150/0.3190. I guess these are vol levels. What the units of these bid and offer quoted?
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What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
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1answer
34 views

Compute Forward Exchange Rates using Risk Free Rates

In the following image : I am not able to understand how, the final value of strategy B can be equal to $e^{r_{GBP}T}F(0,T)$ According to me it should be just $F(0,T)$ My reasoning is that when you ...
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1answer
93 views

Dollar basis calculation. Where do I miss the point?

I read that recently, due to the covid-19, the pressure on the dollar market has risen significantly on the demand side. That is why the dollar basis became largly negativ. https://www.bloomberg.com/...
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56 views

FX Smile Polynomial Fitting

I am unable to reproduce the example of FX polynomial smile interpolation on page 59 of the book FX Option Pricing by Iain Clark shown below. Consider just the ATM volatility as a specific case. I ...
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54 views

FX swap trade question

(a) today, say I did a fx swap trade: long PHP/USD spot and short 1m PHP/USD forward. Then if 1m PHP interest rate goes up, I should make money (meaning i locked in paying a lower 1m PHP interest rate ...
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200 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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157 views

Where does the 50.14348112 coefficent in the US Dollar Index formula come from?

The formula for the US Dollar Index (DXY) that every resource on the internet provides is: $$DXY = 50.14348112 × EURUSD^{-0.576} × USDJPY^{0.136} × GBPUSD^{-0.119} × USDCAD^{0.091} × USDSEK^{0.042} × ...
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1answer
191 views

FX Swap P&L question

I am currently trying to compute the P&L of a FX swap and to understand it's implications. Let's say when we sell 1M EUR spot eur/usd at 1.08 and at the same time buy a one month month forward ...
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1answer
827 views

STIR topics: Implied FX-OIS Basis and FX Forward/Swap Pricing

if someone could provide some clarity on the below: What is meant by 'Implied FX-OIS Basis'? For example: "ON JPY trading at parity, 1W implied OIS basis moved 70BP" and "3M Implied OIS basis moved ...
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Pips calculation based on trade units and Unrealized Profit

The OANDA API allows me to easily see the Unrealized/Profit Loss in units of my home currency (U.S. Dollars) on each trade and the number of units associated with the trade. What I am not able to ...
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1answer
108 views

Implied cost of borrowing USD via an FX swap

EURUSD is quoted at 1.0879/84. Lets say O/N forward points are quoted at +0.032/+0.332. Lets say based on these quotes I want to derive my implied funding cost (USD interest rate) if I wanted to ...
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27 views

Effect of lowering benchmark interest rates

On recent days, Yen appreciated 30 bps towards USD "after the Central Bank lowered its interest rates by 50 bps". Can someone explain me the economic rationale of the appreciation after a central bank ...
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193 views

ATM volatility for FX options

I am quite familiar with equity implied volatility and smiles. However, I find it quite confusing and unclear when it comes to FX. I read many materials but could not get a grasp of the notion of ATM ...

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