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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2answers
411 views

Volatility of EUR/USD: is this correct?

Let x be the closeBid price of EUR/USD, sampled every 5 minutes during year 2015 (historical data). This is the variation (is it ...
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2answers
512 views

what data to use to compare the interest rate among different currencies?

Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies. For example, I am interested in compare interest rate in the ...
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2answers
1k views

Forex P&l Attribution on Physical Forward position

Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below ...
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1answer
361 views

Is that a good way to work with the ARMA model?

I would like to share with you what I am doing to get your point of view, and to make a better trading system in collaboration. I am working on EURUSD forex, and I am trying to find a way to place ...
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1answer
137 views

Should a strategy backtested against three years of tick data continue to produce positive results?

Let's say we have a Binary Options 5-minute trading strategy that relies on multiple indicators and exploits price reversals in currency pairs. Now let's say there is a combination of inputs for the ...
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0answers
30 views

Are COFER unallocated resource changes meaningful?

I've been looking at the currency reserves (COFER) data on the IMF site: http://data.imf.org/?sk=E6A5F467-C14B-4AA8-9F6D-5A09EC4E62A4&ss=1408202647052 What caught my eye was the 5% drop in ...
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2answers
79 views

Trying to understand how to convert profit to home currency

I'm looking at example 2 here: http://fxtrade.oanda.ca/analysis/profit-calculator/how ...
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0answers
565 views

Triangular Arbitrage with CFD

I cannot understand how the triangular arbitrage fits with CFD. Assuming there is an arbitrage opportunity: EUR/USD < USD/GBP * GBP/EUR If I do this strategy: 1 Long on EUR/USD at Ask price 1 ...
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1answer
2k views

How to create a basket of currency pairs with the lowest correlation in R?

My strategy is designed to buy and sell all assets of a universe and rebalance periodically. It goes either long or short. To limit risk exposure to a single currency I would like the assets in the ...
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1answer
178 views

How to distinguish trending/consolidating market conditions programatically?

Can someone please suggest me a method to programatically identify trending/consolidating market condition by reading ohlc data? Currently I'm thinking of checking the current price within last n ...
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1answer
704 views

How to compute returns and daily VaR of a currency position?

I have a Forex trading account with a base currency USD. I am holding a position in EUR/JPY and would like to estimate my daily VaR. If I compute the EUR/JPY returns using the historic prices this ...
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1answer
96 views

Implied exchange rate

The EUR/JPY exchange rate increased by 20%. The USD/JPY exchange rate increased by 25%. By how much will the EUR/USD exchange rate decrease?
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3answers
88 views

What information should be delivered to the client so they have enough information to manage their exchange rate risks? [closed]

The client can be a CFO or CEO. The information can indicators, charts, graphs, statistics, ratios, etc. I know the VaR is one of them.
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1answer
502 views

can an fx forward price simply be divided into 1 to quote the inverse?

Qu 1. Say I ask for EURUSD 1 week and get prices: 1.120986 / 1.120216 Does that mean to price USDEUR 1 week I can divide 1 / 1.120216 and 1 / 1.120986 and get rates: 0.8921 / 0.8927 Or is that ...
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1answer
70 views

Lease Accounting / FX Embedded Derivatives [closed]

I have a lease agreement where the functional currency is USD, domestic currency is UAH. Lease agreement is written in EUR (rent rate) and payments are to be done in UAH in the amount of rent rate (...
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1answer
95 views

Exchange rate conversion [closed]

If the EUR/USD exchangerate fell by -0,96%, how much has the USD/EUR exchange rate increased? According to the below charts the number would be +0,97% (currently) but I cant figure out how these ...
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2answers
287 views

Simple question about FX carry trade

I have been reading online about the FX carry trade and how this can be profitable (in general). From my understanding, the idea is to be long (lend) the currency with higher interest rate and short (...
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2answers
211 views

How to handle currency change in exchange rate volatility measurement

I am trying to measure exchange rate volatility in some countries and I am using their currencies against euro. Problem is that one of them is Slovakia which has changed the currency in 2009 from ...
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1answer
212 views

U.S. Rate Hike Prediction

In a recent ft.com video an analyst mentioned that markets postponed their Fed rate hike expectation from September to around November 2015 due to the CNY devaluation, based on the "shift" of some "...
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1answer
234 views

CNY Devaluation: Why EUR up, USD down?

The second unexpected devaluation of the Chinese currency CNY caused some turbulent market movements in currencies today. I was surprised that the EUR went to a 1-week high against the USD up by ...
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1answer
247 views

Futures vs. spot for currencies - who is the leader

What is known about interrelation between the currency (say EURUSD) spot prices vs. futures on the the same currencies (traded at Chicago CME) ? I mean what is typical situation - the main price ...
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1answer
362 views

Factoring risk premium in to Forward Rate calculation

This is a self study question. I'm calculating a forward rate. Specifically, I have that in a country X, the Spot Rate is 5X/1US. I also have that the 1 year interest rate is 13% in country X and ...
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1answer
164 views

Why is Indian rupee is stable against the USD even though most other currencies weakening?

The Indian Rupee (INR) seems fairly stable against the USD (1 USD = 62-64 INR) in the recent times even though most other currencies have weakened against USD, some by 20-30%. Apparently, INR is ...
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1answer
283 views

what is a typical way forex brokerages can provide cheap leverage for their customers?

I'm not very well read in the area of high finance but I'm curious how forex brokerages are able to provide the backing for leverage that they can provide to customers. Is it possible to do this ...
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0answers
982 views

Markov-Switching Multifractal and FX Rates

Is there a better model than Markov-Switching Multifractal (MSM) for detecting regime shifts in FX rates across multiple time horizons? I am especially interested in the different aspects of the ...
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1answer
73 views

How to effectively hedge a Fixed-Term deal in a foreign currency?

Assume my firm is based in USD and agrees with some counterparty to buy, at time $T$, some quantity $Q$ of asset $A$ for a fixed price $K$. Assume also that $A$ prices and $K$ are denominated in EUR. ...
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1answer
442 views

Apply CAPM using returns on a foreign currency as the market returns

I want to analize Bitcoin returns using the CAPM. I was thinking if it makes sense to compare returns of (BTC/USD) against (EUR/USD), taking the latter as the market returns. However, since EUR is ...
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2answers
3k views

FX Delta Conventions

I'm currently reading Iain Clark's book Foreign Exchange Option Pricing and I got stuck at one sentence in the beginning of Section 3.3 that I feel is important to understand. He writes: FX ...
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1answer
2k views

Using FX ATM/RR/BF Volatility to Estimate Smile

Suppose $S$ is some FX rate, EUR/USD say, and $\sigma_{S}(K,T)$ is the implied volatility for some option written on $S$, sourced from the surface $\sigma_{S}(\cdot,\cdot)$ (alternatively, consider ...
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2answers
4k views

Historical Data on $/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
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1answer
830 views

How trading in currency pair works, underlying techniques and mechanisms

I am somewhat experienced in Forex trading, but I have a question which has bothered me for quite some time. If we for instance go back in time four months, to before the beginning of value loss the ...
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2answers
426 views

Forex trading scenarios - calculating units

I'm trying to build an automated forex trading system and I'm trying to understand how to calculate the number of units I should specify for each trade in different scenarios. Say for example I have ...
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2answers
147 views

Calculating units in a cross currency short trade

If I have a forex account with a broker and a balance of 100 USD, and I'd like to short EUR/JPY, how many units can I short? How is this calculated? Which currency pair do I use to translate between ...
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1answer
130 views

Relationshiop between central bank official currency rates and spot forex

Central banks publish official figures for domestic interest rates, as well as spot currency rates for a few select countries (largest trading partners). To prevent arbitrage, I "expect" that in the ...
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2answers
23k views

how to calculate a cross-currency swap in basis pt?

This question has been bugging me for awhile now and I've been trying to find a definite answer, however, no avail... My question, in specific, relates to the USD/CNH CCS rate. From what I understand ...
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1answer
274 views

Relationship between ADR in USD and original stock in GBP - Drift in price

For tax reasons, I switched a position I had in the HSBC London GBP listing into the USD ADR. The ADR represents 5 shares of the GBP listing. My understanding was that since at all times 1 ADR = 5 UK ...
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1answer
94 views

Equity Chart - design and granularity

I am looking to build a web based Equity chart to display performance of FX trading strategies. I would like to hear opinions and advice on a few areas that I am unsure about. Granularity Equity ...
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4answers
389 views

Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
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1answer
92 views

Where can i get a feed for country specific economic announcements?

I am looking for a feed for country wide economic announcements. For example CPI announcements etc. I currently use http://www.fxstreet.com/economic-calendar/ but I have to manually go there and "...
4
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1answer
562 views

Black model: Delta - strike relationship regardless of expiry?

While wandering through some QuantLib experimental classes for FX trading, I've found this Black Delta Calculator. By reading its .cpp, it seems that no use of ...
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0answers
317 views

is there a limit on how many times i can access fxcm xml feed

i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ...
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1answer
126 views

In a FX options book, is the sum of P&L equal to the portfolio value?

For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
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1answer
735 views

Lease Accounting / FX Embedded Derivatives: How to Value Floor / Cap Optionality Features

Suppose you have a lease agreement where the functional/domestic currency is RUB and the currency on which the lease is written USD. Let $S$ be the USD/RUB exchange rate (# of rubles per 1 dollar). ...
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3answers
3k views

How is historical data for forex collected or computed?

I'm looking at four sources of forex data, as compiled in the question, What data sources are available online? And I think I must be misunderstanding something, perhaps something fundamental, but I'm ...
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1answer
486 views

What is delta neutral

Does delta neutral portfolio mean you add up deltas of all positions and the sum should be zero? Is this true? Also, in a FX portfolio consisting of FX calls puts and Fwds, if FWD delta is given for ...
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1answer
56 views

What are the technical events that fluctuate quoted asset (e.g. forex) prices? How does it relate to the purchase of currency contracts?

This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note ...
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1answer
689 views

FX Rate dynamics

Let's suppose USD/EUR price in USD follows a GBM with $$ dS_t = rS_tdt + \sigma S_tdW_t $$ What process does EUR/USD follow in EUR?
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701 views

Is the Volatility of the Fx Inverse process same as Fx

Let St = Fx and St(Inverse) = 1/Fx. Do both of these have same volatility and if so how would you prove it?
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1answer
235 views

Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
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2answers
53 views

American put on a foreign currency

I know that For an American-style put option, early exercise is a optimal for deep in-the-money options. In this case, it may make sense to exercise the option early in order to obtain the profit ...

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