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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822 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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624 views

compute time from FX forward, how use DEPO rates?

assume I have following delta-term vol data from broker: ...
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306 views

EUR/PLN and EUR/USD delta-term-vol surface quoting convension

does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
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2k views

Carry Trade vs synthetic Carry Trade using forward contracts

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...
3
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382 views

How to balance two Forex crosses correctly to do a linear regression?

I have two cross and an account in EUR: EUR/USD GBP/USD I would like to do a balanced linear regression using R. With "balanced" I mean that I would like to normalize it by calculating the ...
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267 views

Using QuantLib Python to value FX options using stochastic volatility

I would like to use QuantLib (and in particular the python wrapper) to value FX option using the Heston model. Thanks to http://gouthamanbalaraman.com and all of the articles therein : in particular ...
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0answers
698 views

Conversion of a premium-adjusted delta to a strike

I am trying to compute the calibration of an FX market volatility surface, and especially I want to retrieve the strikes from the deltas quoted. I don't have any trouble reverse-engineering the ...
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0answers
307 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
551 views

Are there any software libraries for backtesting FX algorithms against tick data?

I've read question, however it doesn't appear as if any of those libraries work for FX data. A Google search for python forex backtesting turns up this project, ...
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138 views

Scale of Market Quakes Computation

I would like to reproduce the results in the paper "The scale of market quakes", from T. Bisig, But I am getting stuck at the computation of the Fourier Coefficients in equation (4). They are defined ...
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0answers
74 views

Why does graphic of log first difference of renminbi look similar to hkd?

This is CNY to US$: This is HKD to US$: Below are the log of the first difference of both graphs above: You can see that apparent similarity on the middle of graph. I thought that they were managed ...
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0answers
3k views

Models for simulating FX movements

My goal is to develop a model to simulate long term FX movements. (I am not sure if long term makes any difference, but if it does I am more interested in long term fx movements) These Monte Carlo ...
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0answers
100 views

How to measure if variance is greater at a certain time of day?

I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis. One market has closed and another market elsewhere on Spaceship Earth is ...
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188 views

How is a quanto priced?

How would one price a derivative denominated in EUR that pays in USD?
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52 views

How would one go about pricing a FX future?

What model/equations would I require to calculate the price for a foreign exchange future? This is in an attempt to mitigate foreign exchange risk. Also, how could one measure a business's exposure to ...
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32 views

Option price with underlying growth rate distinct from discount rate

Consider a European style option. The price equation is $$\frac{\partial V}{\partial t} + \frac{1}{2}\sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} + rS\frac{\partial V}{\partial S} - rV = 0 \tag1$$ ...
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19 views

Parametric Simulation of FX forwards

I need to simulate FX forwards for risk management (VaR) purposes. The problem is that the FX forwards are derived from : 1) Spot 2) int rates 3) and the basis. So the question is how do you ...
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0answers
34 views

Can you derive fx correlations given the historic correlations of base pairs

Say for USDJPY and GBPUSD, I have the historic data and calc the volatility and correlation between these pairs. Because GBPJPY = GBPUSD x USDJPY. Can I calculate the correlation for GBPJPY directly ...
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64 views

Performance Call on a Futures

I'm not a 100% on when a margin call is on a group of future contracts... The contract attributes were: ...
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0answers
58 views

How can we value NPV for a standard FX Swap?

hope you are all well! Was just wondering how we can value the NPV on the value date for a FX swap - i'm sure it's by evaluating the interest rate payable/receivable from the trade date until the ...
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0answers
46 views

Do Reuters or Eikon have intraday exchange rate data for minor currencies?

I need historical intraday exchange rate data (for a minor european currency - EURRSD) for my thesis. Not necessarily tick by tick - just prices at any interval below an hour will work. I guess there ...
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0answers
43 views

FX Average Forward Pricing

Lookin for documentation on how to price FX Arithmetic Average Rate Forwards. Couldn't find any info on textbooks. Any help is very appreciated.
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1answer
610 views

Pricing Uneven FX Swaps

I'm trying to figure out how to price uneven FX swaps. I just started on a FX trading desk and have been told that the all-in rate for a 2-legged FX swap is equal to: 1) Quote for market side of net ...
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0answers
22 views

Average monthly exchange rates causes translation error in consolidated books

I newly work for a multinational company with a corporate structure such that during consolidation, the books need to be translated multiple times and sometimes back to the original currency. I've ...
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34 views

forex backtesting spread cost modeling

For professional level forex trading, what is a reasonable estimate of roundtrip transaction costs (I am talking about major pairs, like EUR/USD).
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193 views

Quanto Factor - FX Forward

In the paper Quanto Options by Uwe Wystup the "quanto factor" $Q$ is used to describe forwards/options when quanto-ed into a different currency, e.g. $$\text{Quanto Forward Value} = Q \cdot e^{-r_Q T}...
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26 views

How does interest parity work with settlement dates?

Interest rate parity is typically proven as follows. Given one unit of a domestic currency, one can either convert it into $S$ units of the foreign currency and invest at the foreign risk free rate $...
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2answers
553 views

Calculating Fx Swap from Cross Currency Swap

I am trying to calculate Fx Swap points of a currency pair from the corresponding Cross Currency Swap rate on the same maturity. I.e if I know that my USD/TRY 5Y rate is 16% and my USD/TRY spot rate ...
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0answers
91 views

Dynamically adjusting the size of a Constant Range Bar (on an intraday fx chart)

Constant Range Bars (CRB) is a type of candlestick charting method that does not draw a new candle every unit of time (like every 1/5/15/30 minutes), but every time the range (high-low) of the ...
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0answers
32 views

How to delta-one hedge a IRD sensitivity on an intra-day basis (using eg, FX or bond futures)?

I'm looking to hedge an interest rate differential sensitivity (the output from a statistical model of spot FX rates) on an intraday frequency. What is the best way to do it? Important factors ...
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0answers
122 views

Net Exposure of FX Future

I'm a software developer currently working for an asset manager in their Risk department. I'm looking at Currency Futures and have a question I was hoping someone could put me right on. If I have a ...
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0answers
42 views

VaR of future foreign currency income stream

Assume I have a series of future incomes in a single foreign currency. How do I calculate the total VaR for this forex risk using the volatility method? My first thought was that I could simply add ...
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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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0answers
44 views

Tail index estimation to prove non-stable fat tail distribution

Currently I am analysing the stylized facts for some EURO FX rates. This paper states that we can prove the fat tail distribution of the FX log returns via the computation of the tail index. For a ...
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0answers
102 views

The best process for foreign exchange rate

I have a simple research project and I need to explain a behavior of a foreign exchange rate. Could you propose a stochastic process without jumps so that it could be estimated with QMLE? Is GBM ...
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0answers
209 views

How do I build a cross currency basis swap pricer using implied levels generated from fx forwards?

How can I construct a simple calculator to imply the cross-currency basis (with sides) from the FX forward and interest rate markets, at maturities under 1y? Depending on liquidity the market in ...
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0answers
430 views

Cointegration for forex using ARMA model to forecast the spread

I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: https://drive.google.com/file/d/...
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0answers
754 views

Murex and Calypso framework

I have been working on Murex and Calypso trading system for several years , front to back , I am facing a lot of question kind of : which software is better ? I can confirm to anyone interested in ...
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67 views

Forward Exchange Rate Data: Germany x US

Would anyone know where I can find historical forward exchange rate data between germany and US, yen and US to download? In Bank of England website i already found. Thanks
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0answers
54 views

Data on interest rate differentials (lending on own vs. foreign currency)

I'm looking for data on (inner country) interest rate differentials between lending in own and foreign currency. Is there any data publicly available? If yes, where? If not, which non-free sources are ...
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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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0answers
493 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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0answers
266 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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23 views

Framework for hedging fx and utilizing correlation between asset returns

Can anyone point me in a direction (research paper, books, ..) which developes a framework/strategy for hedging currency exposure for an international bond portfolio? This paper finds optimal ...
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0answers
24 views

FX Options Greeks: Is there a meaning in converting the sensitivities values in different currencies?

Suppose you have a Call on JPY, domestic currency is USD The price will be in USD Let's say delta = 0.93 Does it make sense for any reporting reasons to convert this value into JPY ? What is even the ...
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1answer
30 views

FX Forward last day first day premium

How exactly do you trade the turn of the year/quarter effect (also known as last day-first day effect). How do you track this data, is it directly quoted in the market or is it interpolated?
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1answer
126 views

How is FX cross rates options are priced?

Say I have market for EUR/USD and also USD/CAD, how would EUR/CAD would be priced and hedged in practice? What are good papers/book chapters to read on that? (Assuming basic knowledge already on ...
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1answer
317 views

Implied AUD Interest Rate from USDAUD FX Swap and USD Interest Rate

Can someone help me understand how to derive the implied interest rate or spot rate in BBG FXFA? I actually get why the Forward rate, F_Ask and F_Bid are derived using the formula in the picture. ...
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2answers
325 views

FX hedging: forward rate and implied forward rate

In this paper (box 1 page 24): https://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Bulletins/2000/2000mar63-1brookeshargreaveslucaswhite.pdf It is argued that the forward rate that a ...
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0answers
49 views

Reverse convertible quanto decomposition

I'm trying to decompose the pricing of a reverse convertible when quantoed. Say my domestic currency is EUR and the stock $S$ currency is USD. The quanto reverse convertible, structured as a ZC bond ...