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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23 views

How skewed are FX returns? Does this look like a plausible histogram of EURUSD?

I'm reading about volatility. I've charted the histogram of EURUSD and I am wondering if this looks plausible? What I've charted are the 1-hour percent change returns (not log returns). I've removed 0 ...
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40 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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73 views

Cocycle Condition for FX and SABR

I was wondering whether SABR model (or some of its modifications) is actually used by practionarers. Also, if one models the FX forward with SABR, would the cocycle condition be satisfied? That is, if ...
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113 views

Use of CNY and CNH derivatives

I was wondering what are the reasons why investors use USDCNH forwards vs NDF on USDCNY? Do you usually pick CNH for trade reasons, while CNY more for speculation as these are USD settled?
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34 views

Hedge Fund Leverage - FX exposure

how is leverage calculated for hedge funds that follow a global macro strategy. Specifically interested in knowing the FX exposure- forwards or spots. If it’s just Longs+Shorts, then leverage would be ...
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66 views

long position on futures

Now I am opening a long position of 1000000 USD on euro futures at a spot FX rate of $1.2568/€. Technically, this means that I am taking a credit of €795,671.55 (2dp) from my broker and immediately am ...
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107 views

Hedging with FX swaps

I am trying to get the mechanic of the swap rollover. Funds usually hedge FX risk of their long term foreign assets (eg UST) with short term FX swaps (usually maturity < 1yr), by rolling over fx ...
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77 views

How is calculated the futures/forward convexity adjustment for FX?

I could find lots of stuff online for IR derivatives but it seems there isn't too much on FX for this specific adjustment.
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38 views

FX rollover tomorrow next and spot next

One traded a fx spot position on day T (say T+2 settlement). If he wants to roll the fx spot on day T, he will use SPOT/NEXT. If he wants to roll the fx spot on day T+1, he will use TOM/NEXT. Is this ...
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53 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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46 views

FX swap implied yield from bloomberg

I am trying to reproduce the bid EUR implied yield I see in the screenshot below for 1y tenor which is -0.6226%. EUR implied yield bid = spot_bid/fwd_bid *(1+i_USD_bid) - 1 Inputs from BBG terminal: ...
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45 views

Relation between inflation rate and the exchange rate of the currency

I have been studying the relation between exchange rates and the inflation of the currencies, but I am far from understanding the most relevant factor in driving FX market players from pricing ...
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87 views

FX Forwards collateral and discounting

What is the market convention for discounting the future cash flows of FX forwards? In particular, I would be interested to know what discounting curves are used for both collateralised and not ...
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110 views

resettable/MtM cross currency swaps

I am trying to understand the mechanics of resettable xccy basis swaps and put together a numerical example. I'd like to know if 1) periodic interest payments are calculated on the original notional ...
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103 views

Currency swap terminology

With reference to cross currency swaps, what does it mean to receive the basis? "Demand from Japanese institutions to receive basis (USD funding) increased due to emergency dollar demand due to ...
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142 views

AUD funding rates

I am looking into into AUD rates and I am a little confused. I tried to summarise below my doubts. FX swap basis (difference between AUD FX swap implied rate and AUD OIS rate). Before covid-19 it has ...
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355 views

FX official rates

How are "official" FX rates calculated? Are these given by an average across all big dealers or brokerage systems (eg EBS, Reuters)?
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73 views

Australian banks funding

"Typically, Australian banks pay a small premium to swap foreign currency into Australian dollars. This premium is also referred to as the basis, which is the difference between the implied cost ...
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39 views

Is there a difference between volume and turnover in the FX market?

For example in equities volume refers to the numbers of share traded and turnover to the total amount exchanged. Was wondering how this applies to FX.
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60 views

Cost of shorting currencies

I thought cost of hedging/going short on a currency with a forward was given by F/S-1 but it seems the author states 0.25% (see below). Am I missing anything (transaction costs, balance sheet costs, ...
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94 views

FX futures valuation under negative rates

Market participants use negative interbank rates (LIBOR JPY/CHF) for the valuation of FX futures. Does this make any economic sense? Positive rates in valuation formula indicate opportunity cost of ...
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122 views

Carry trade question

Usually carry trades involve borrowing in a low yield currency and invest in a high yield currency. For example, I borrow dollars and invest in Brazilian real. I then use a rolling FX swap to hedge ...
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39 views

Is there ever a case where there are multiple ticks (different prices) at the same tick timestamp in Forex?

Say I'm receiving ticks for AUDUSD. The timestamp for Forex tick data seems to go down to a resolution of .001 second (milliseconds). Example: ...
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31 views

Brazil FX market “cupom cambial” [duplicate]

I am trying to understand the role of cupom cambial (onshore dollar rate) in relation to the BCB swaps which are domestic NDF settled in real. "The cupom cambial is priced in basis points as an ...
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38 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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92 views

If I have 2 uncorrelated currencies, why is the volatility of their product higher than either of the volatilities? (better explanation inside)

Let's say we have 3 currencies: EUR/USD USD/GBP EUR/GBP For a minute let's assume that we calculated the EUR/USD-USD/GBP correlation for the last N days and the result was 0.0 (I know this is not ...
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53 views

3 pairs, FX options, implied vols

I am trying to undertand the relationship between EUR/JPY options and USD/EUR and USD/JPY options. Vol(USD/EUR) = $S_1$, Vol(Usd/JPY) = $S_2$, Vol(EUR/JPY) = $S_3$ The actual Vol follows: \begin{align}...
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16 views

Where can I purchase FX tick data based on TRADEABLE quotes?

I am trying to find comprehensive tick data for major FX pairs that includes tradeable (not indicative) quotes (bids, asks and volumes), particularly in the interbank market, for (roughly) the 2008-...
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66 views

FX Option Price Quotation

I'm trying to replicate the following FX vanilla option pricing exercise (and the conversion between the quote types), taken from Wystup (2006). A call's value today is well-known given by BS / ...
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57 views

Leakage and bias in XGBoost trading strategy

I apologize for my persistence, i'm on a course of study and doubts increase every day. My goal is "just" to code a profitable forex trading strategy with machine learning. I'm trying to ...
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212 views

FX Delta of a cross currency basis swap

I would like to understand in which case there is a presence of FX delta risk factor when trading a Cross-currency basis swap. By FX Delta, I mean the sensitivy of my swap PV with respect to FX Spot ...
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213 views

Symbol for the Dow Jones Industrial Average in Alphavantage.co

Is there a way to retrieve EOD and intraday data for the Dow Jones from Alphavantage.co API? I tried DJI, DJIA, DJA. None worked.
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27 views

Calculating currency indexes weights?

I was looking at this formulas: USD_INDEX= 50.14348112 × EURUSD^-0.576 × USDJPY^0.136 × GBPUSD^-0.119 × USDCAD^0.091 × USDSEK^0.042 × USDCHF^0.036 and ...
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78 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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168 views

Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price?

Why using mid price to compute mark-to-market P&L if it is less accurate than using bid/offer price? If spread is wide, mid is really not representative of what you would get by getting rid of ...
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1answer
100 views

Funding foreign asset purchase with repo

https://www.bis.org/publ/qtrpdf/r_qt1709e.pdf extract from page 38 An investor wants to buy a foreign currency security with domestic cash but does not wish to run FX risk. Then, three transactions ...
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72 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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24 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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136 views

what is the difference between an NDF and a FX Forward contract

Reference of NDF definition: https://www.investopedia.com/terms/n/ndf.asp For example, an NDF contract on Chinese Yuan and US Dollar is pretty much a CNH/USD fx forward contract, isn`t it ? In terms ...
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68 views

FX swap par value

What is the relationship to apply so that an FX swap value is 0 at inception? For example, for a short 1y EURUSD swap with 1mm euro notional, at inception spot = 1.1000 and 12m fwd = 1.1022, EUR 1y ...
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99 views

Is the pricing formula for FX Forwards the same for FX Swaps?

If I use fwd_price = S*(1+r_term)/(1+r_base) to determine the theoretical value of a forward, how should I tweak the formula to price a FX swap? Assuming swap = fwd-spot, swap_price = S*(1+r_term)/(1+...
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125 views

Hedging against FX for bond portfolio

Let's say I've bond is USD with a maturity of 25yrs and yield of 5% and coupon 7%, but I'm located in Europe and wanna hedge the USD risk, How can I use cross currency swap to do this ?
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83 views

What does it mean In FX trading you using a T/N swap to avoid physical delivery of the currency? [duplicate]

I understand you use T/N swaps to rollover FX positions and so avoid physical delivery but I dont quite get how this happens in reality. For example, if I am long EURUSD and need to deliver/sell USD ...
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18 views

Difference b/w Spot Premium and Forward Premium for FX Options

Can someone elaborate the difference between the two, and what is the typical convention used in markets? If there is a mathematical relationship. Any helpful links/guides would be appreciated as well,...
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73 views

FX spot distribution with student-t returns

If I am modelling my returns as $\sim N(0, \sigma^2)$, then I can evolve my spot distribution as: $$S_{t} = S_{0}e^{(\mu - \frac{1}{2}\sigma^{2})t + \sigma dW_{t}}$$ where $S_{0}$ is the spot, $\mu$ ...
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48 views

Yahoo finance forex prices

Good morning, I apologize for my poor english, I'm not an expert and I need your help... do you know how daily prices are calculated on Yahoo Finance Historical data? Let me give you an example, if ...
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97 views

How to model financial HFT time-series data with multi scale autocorrelation

I work with tick level time-series univariate prices data. Tick level means that there are hundreds to thousands observations per second. The observations are timestamped, so one can use both wall ...
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117 views

Forward EURUSD exchange rate for a Future date

Assume that on today's date as of 11/22/2020 the 1 year forward exchange rate for EUR/USD is ...
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42 views

Any resources or literature on interpolation schemes for future dates?

I have a whole stack of the popular option trading/modelling books (Natenburg, Sinclair, Hull, etc.) None of them however address the idea of pricing or modelling values at a point in the "future&...
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77 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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