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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1answer
448 views

Calculate Exponential Moving Average for a specific time frame

I am writing code to calculate and plot the Exponential Moving Average(EMA) for different chart timeframes(tick/1M/5M/1H etc). I found the formula for calculating EMA: EMA = Price(t) * k + EMA(y) * ...
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3answers
12k views

where can i get data for foreign exchange order flow

I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
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4answers
6k views

Does Yahoo/Google no longer support web-scraping of FOREX data?

I use Python 3.6 to develop quantitative FOREX trading strategies. I used to use Yahoo or Google in conjunction with pandas.datareader in order to collect forex ...
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1answer
137 views

How to regard foreign currency forward as foreign and domestic bonds on VaR

In John Hull's book Options, Futures and Other Derivatives 9th page 507 We want to calculate the VaR of a ...
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2answers
1k views

Pricing Mark-to-Market Basis Cross Currency Swaps and Subsequently Constant Notional

Currently I'm working on my Master Thesis in Quant Finance in cooperation with a company. I would like to thank you very much for your time and help in advance! In my thesis I want to price Mark-to-...
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2answers
451 views

FX risk of basis swap in foreign currencies

As an US investor, if I enter a basis swap in a foreign currency (say Euribor-Eonia basis in EUR), and book my trade using USD. I must have some sort of FX risk, right? How do I hedge such risk? I'd ...
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1answer
247 views

Price series for an FX forward contract

Let's assume I am buying a NZD/USD 1Y forward for $1000000 on the 20/02/2017. The NZD/USD 1Y forward point is currently -270 and spot rate is 0.8325. (Example taken from here). Now I want to have a ...
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2answers
3k views

Why is “Deferred revenue” a non-monetary liability?

Why is "Deferred revenue" treated as a non-monetary liability during temporal method FX translation while "Accrued Expenses" is treated as a monetary liability?
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2answers
134 views

How do I get Forex data via FIX

We need to create an internal Forex API for internal usage. We're interested in the accuracy and real-time availability provided by a Fix connection. How would we go about getting access to a FIX ...
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1answer
463 views

How do you calculate the initial prior SAR value in a Parabolic SAR over FX market data

So I am attempting to calculate the Parabolic SAR over FX market data. I understand that the SAR equation is: SARt = SARt-1 + * [EPt-1 - SARt-1] with EPt-1 ...
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1answer
227 views

Traders view on hedging of FX Futures with FX Forward

I would like to get a trades view on hedging a FX Forward with a FX Future by just moving the (1) FX_Spot rate and ignore the other risk factors (2) ccy1 DV01 risk, (3) ccy2 DV01 risk, (4) basis swap ...
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1answer
162 views

What are recommended recovery techniques in arbitrage when one order doesn't fill?

Let's say you are running an arbitrage strategy in the Forex market. You see an opportunity to buy USD/JPY at 100 on exchange A, and sell USD/JPY at 105 on exchange B. You submit the buy and sell ...
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3answers
6k views

Where can someone get free (or very cheap) high frequency tick forex data?

I am currently working on a large data set (approx 80 million data points over 10 years). I would like another set of data that has one currency in common. Eg, I have EUR/USD and would like USD/CNY or ...
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4answers
563 views

Market making with resting orders?

I'm still confused on how to provide liquidity on the forex market using passive or resting orders and get the spread from that (selling at ask and buying from bid) And what's the dynamics on the LOB ...
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4answers
2k views

Realtime Exchange Rate Data API

There are various sources for real-time exchange rate data, e.g. Ariva EUR/USD. Is there also an API or other source which enables to automatically retrieve real-time exchange rates as a data stream ...
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2answers
1k views

FX Option pricing on Forward vs. Spot

In a GBM world with riskless domestic and foreign interest rates, what would be the correct model for a FX plain vanilla option given the statement that this option is priced on the forward? I guess ...
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2answers
5k views

Strike / delta relationship for FX options

I am tryinto find out how to go from delta to strike. If wee look at the bloomberg I am looking at 1M ATM volatility. I have included the Bloomberg data as a picture where we have following ...
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1answer
135 views

Getting Returns from Local Currency to USD

I want to get the daily returns in USD given returns in local currency (say Japanese Yen). Say for example, on February 3rd according to Factset, the returns of Inpex Corp (Japan) are: In USD: 0....
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1answer
141 views

Pegged orders vs Cancel/Replace

Anyone with real experience between these two types? Trying to use Pegged orders for an hft strategy (on forex) and wanted to know if someone could tell me advantages / disadvantages to use them ...
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0answers
110 views

Monte Carlo volatily

I was wondering if we could do a forecast on volatility using monte carlo on an underlying asset. For example EUR/USD : Simulating a lot of possible paths on 1 year then calculate the volatilty for ...
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1answer
569 views

FX forward rates

FX forward rate should reflect the difference in the interate in the two currencies. At the moment GBP USD is trading near 1.29. The 5 year yield for US treasuries is about 1.87% and the UK 5 year ...
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1answer
140 views

Modeling FX option in a negative interest rate environment

I am working on a project and I am trying to evaluate an FX option with EUR/GBP underlying. As the EURIBOR is negative, how can I do the pricing? I know I have to transform the interest rate, to ...
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2answers
205 views

Is there any good academic references for Forex inefficiency? [closed]

I am PhD in computer science, and I am pretty much clueless where can I look for good journals or conferences for Forex that talked about its inefficiency. Is there any good journals, conferences that ...
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0answers
271 views

is there any calibration method to calculate FX forward rate? How Bloomberg define FX forward rate

there is any calibration method to calculate FX forward rate? How Bloomberg define FX forward rate
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1answer
240 views

How is the Blockchain.info Bitcoin Market Price Calculated?

I am about to apply traditional univariate GARCH tools to analyze the volatility of the Bitcoin - US Dollar exchange rate. The index that I would like to investigate is the Bitcoin Market Price (BMP) ...
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3answers
606 views

Volatility and Counterparty risk for FX Forward

How does the change in FX volatility affect the counterparty risk of an FX-forward? Should it not be riskless since the forward itself is "protecting" the exchange rate fluctuations?
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1answer
111 views

Is it better to express a currency position through multiple pairs?

I use a trend-following approach where I look for trends in various currency pairs such as GBP/USD or EUR/USD and then take a position in the Spot currency. I measure the performance of my strategy by ...
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1answer
111 views

How to check if relationship between two variable changes over time?

I am working on a commodity-exchange rate model as part of my thesis. My dependent variable is log of first difference of exchange rate of Colombia and my independent variable is log of first ...
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0answers
50 views

Definition of “From Currency” and “To Currency”?

I'm using a service provider to access FX data, and when requesting the ticker SWEUBOE which is the Bank of England's exchange rate for EUR and CHF, I get the ...
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1answer
82 views

Futures hedging for FX

What is the risk that occurs if an investor hedges a short OTC foreign exchange forward sale with a long exchange traded foreign exchange futures with different maturities. And how can the residual ...
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2answers
1k views

How to use the Black-Scholes formula with LIBOR rates?

I want to price an FX option using the Black-Scholes model, but I don't know the risk free rate, nor the volatility. I only know the LIBOR rates, the strike, and that the expiration day is 87 days ...
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1answer
49 views

book of options hedging case of floating rate

i'm an intern in bank at Morocco that sells vanilla options on EUR/USD , EUR/MAD , USD/MAD , it s using delta hedging strategy to cover they're position . But because of the switch to floating ...
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4answers
376 views

To currency hedge or not to currency hedge (ETFs)?

When is it preferable to use a currency hedged ETF over a none currency hedged ETF? There has been studies which have shown over the longer term currency hedging does not make a difference. "...
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1answer
35 views

Data on morocco exchange reserves

i'm trying to do some tests on exchange market pressure of morocco Where can i find data on morocco exchange reserves thanks
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1answer
347 views

How do I calculate the inverse rate of an exotic? [closed]

I'm getting my FX rate information from a provider that only provides me one direction THB => CHF. Now I want to calculate the inverse: CHF => THB. I see two possibilities: Take the middle of the ...
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1answer
199 views

Strange Delta for FX Down And Out Call, Strike below Barrier

Based on this text about FX options on pages 139, 141 and 145 I'm trying to compute the delta of a down and out call with the strike below the barrier. Here is a quick and dirty Python code (I assume ...
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2answers
5k views

FX forward curve building

Can someone explain which curves are used to calculate FX forward rates? I have the idea that it involves using the local OIS curves for both currencies, but my calculation shows that it is not the ...
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2answers
75 views

Beginner question: how do I use common indicators in backtesting with tick data? Do I resample to 1-day data?

Sorry if this is the wrong place for this, but I've Googled around quite a bit and can't find this spelled out anywhere. Most of the common indicators seem to be based on daily periods. If I want to ...
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2answers
2k views

FX: PRDC (Power Reverse Dual-Currency Notes): key risks and callability

Can anyone tell me more about PRDC products. I've heard it is a popular product among Japanese investors. One popular product is the 10Y BRL/JPY paying a coupon of 20%*PerfFX-15% with callable options ...
2
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1answer
149 views

FX Price aggregation method

Lets say we are receiving tradable FX market depth(bid/ask prices and amounts for each level) from several Liquidity Providers and we want to aggregate the market depths in to a single bigger market ...
2
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1answer
314 views

Pricing and Hedging an Option through a Currency Triangle

How is the option price of an plain vanilla option (in a Black Scholes setting) derived, which is written on, say XAGGBP but practically hedged with XAGUSD and GBPUSD (because these are more liquid)? ...
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2answers
452 views

FX Option with Different Premium Currency

When valuing an FX option with some model M, e.g. Garman Kohlhagen for a call on GBPUSD spot, with a different premium currency, say CHF, is it correct to simply multiply the obtained option price (in ...
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2answers
114 views

Close prices discrepancy between binary.com, google, yahoo and wsj?

My algorithm needs to extract the forex data of the last 48h (hourly) to get the last close price and to calculate the MACD. I use Google Finance api becouse is the only which provides free forex ...
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1answer
132 views

Currency/Forex Hedging using Momemtum Strategy

Mainly the two ways I could find on currency hedging are using forwards (to lock in a future exchange rate) and options. However, I'm curious whether currency can be hedged via some commonly known ...
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1answer
154 views

FX Option Pricing Under Basis Adjustment

Given money market rates such as USD LIBOR and EURIBOR and in the context of FX options valuation, I have been reading about the importance to include a so called basis adjustment to one of the ...
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2answers
126 views

Trading a planned drop of FX peg

I've been playing around with ideas (not primarily to make money) about what exactly is going to happen when Czech National Bank will leave the EUR\CZK peg? It's been on for roughly 2.5 yrs as a ...
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2answers
355 views

How do I get a good mid-price?

I 'm trying to get a mid price for forex data. This answer by alex suggests that I shouldn't simply take ask minus bid. I am not a high frequency trader or market maker. My purpose for the fx mid ...
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2answers
1k views

VaR mapping - Forward Foreign Currency Contract

I have a question about VaR mapping for FX forwards. Please bear with me while I outline the problem. Philippe Jorion's book discusses VaR mapping; a means to break down complex instruments into ...
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1answer
98 views

fx : HistSim VaR for currency NDFs

I might be asking a very simple question for the FX experts... I would like to check the HistSim VaR process for a currency NDF. Given the PV for the product is defined as:- (f(T) - K)*...
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3answers
213 views

FIX latency and clock syncronization

We are trying to see latency from our server to different LPs . For that we are checking sendingtime value (from them) and current clock in our server. What we saw is difference of +-20ms between ...