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

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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22 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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94 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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26 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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22 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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1answer
69 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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2answers
100 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
92 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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1answer
47 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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18 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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84 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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63 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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83 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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3answers
114 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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74 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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16 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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1answer
70 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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38 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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76 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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1answer
103 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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40 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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1answer
75 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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54 views

What is an industry standard to value FX Forwards with margining?

I could not find any reference on market standard approaches to value FX Forward with margining options. Is computing the present value of FX Forward with spot, swap margin is so trivial? My ...
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20 views

Is it possible to compare Forex data to similar random time series to measure how predictable it is?

In relation to my previous question (Who influences Forex prices and by how much?) I have an raw idea how to determine how much is Forex influenced externally and how much is its behavior given by its ...
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1answer
110 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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1answer
121 views

The quality of an trading algorithm

Good day. I am currently writing a term paper on the creation of trading algorithms in the foreign exchange market (by an algorithm I mean the one that follows the alpha model, for example, signals ...
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34 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
105 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
57 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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1answer
49 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
44 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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1answer
150 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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37 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
95 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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63 views

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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1answer
82 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
214 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
55 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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1answer
59 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
154 views

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
56 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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0answers
56 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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76 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
2k views

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
68 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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0answers
82 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
73 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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0answers
83 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
83 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
56 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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