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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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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1answer
34 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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3k views

Computing FX forward delivery dates

I'm looking for a precise definition of how FX outright delivery dates are computed. Chapter 1 of the book 'Foreign Exchange Option Pricing: A Practitioners Guide' (this chapter can be found here) ...
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146 views

ATM volatility for FX options

I am quite familiar with equity implied volatility and smiles. However, I find it quite confusing and unclear when it comes to FX. I read many materials but could not get a grasp of the notion of ATM ...
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1answer
82 views

Alternative strategies for hedging customer FX positions in spot market

Generally, if an FX broker decides to hedge a customers' position, it automatically hedges the customer's trade to Liquidity Providers when the trade occurs in the spot market. Let's say, the customer ...
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1answer
56 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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2answers
647 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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1answer
1k 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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2answers
118 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
517 views

STIR topics: Implied FX-OIS Basis and FX Forward/Swap Pricing

if someone could provide some clarity on the below: What is meant by 'Implied FX-OIS Basis'? For example: "ON JPY trading at parity, 1W implied OIS basis moved 70BP" and "3M Implied OIS basis moved ...
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4answers
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ARIMA model coefficients from discontinuous data series

Stock prices are not stationary processes during all week or all day. For example EURGBP has low variability at night in Europe but during working hours is changing much more dynamic because of market ...
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1answer
43 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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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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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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2answers
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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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4answers
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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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Is statistical arbitrage on FX possible?

Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange? I couldn't find any. I asked this question on several forums and got no reply. Thus, I guess ...
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Forex ECN for Algorithmic Trading

I'm looking for a forex brokerage that allows me to: add limit orders to the order book and trade against other clients However, when I look at the looks of fxcm, alpari, robofx, ... it appears all ...
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1answer
58 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
57 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
58 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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9k 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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0answers
79 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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1answer
82 views

FX Forward rate agreement valuation in quantlib

I am trying to value an FRA in quantlib Python using the below code: ...
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4answers
4k views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
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1answer
40 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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21 views

Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade

In general most of the forex market closes by 10:00 pm london time on Friday and opens back on Monday morning APAC time , somewhere around Sunday evening London time. I am interested in knowing if ...
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52 views

How do we compute FX volatility for any given FX strike and time to maturity?

I want to implement a function which is passed two inputs: a strike and a time to maturity (which can be arbitrary within a specified range) and returns an FX volatility for this strike and maturity ...
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38 views

How do I calculate FX forward hedge ratio?

Suppose I have a USD holding of 1,000,000 in my portfolio and I want to convert it into EUR in a month's time. I enter into a FX forward contract of the same amount USD 1,000,000, meaning that I have ...
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1answer
49 views

Foreign-Domestic Symmetry

I try to find the proof of the theorem of Foreign-Domestic Symmetry for FX options, but I did not found, Some paper or book, where it is explained? Theorem 2.1 in this paper: https://arxiv.org/pdf/...
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1answer
101 views

FX ATM-volatility quotes

Is the implied volatility ATM the same for a currency pair as for the inverted currency pair. I.e, can I expect the same volatility quote ATM for (for an instance) EURUSD as for USDEUR? And does this ...
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1answer
61 views

Hedging With Zero Coupon Bonds from The Concepts and Practice of Mathematical Finance by Mark Joshi

In section 2.5 he describes an example of arbitrage-free pricing (attached below). I have a pretty solid understanding of how we arrived at $K' = K\frac{1+d}{1+r}$, but I got a little lost when he ...
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1answer
38 views

Is the differential between risk free rates the drift of an exchange rate only in the risk neutral world?

Take for example this passage from "Monte Carlo Methods in Financial Engineering". Is this a result of the risk neutral world or is this the real world drift as well? I've never seen the explicit ...
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1answer
47 views

Is “time value of currency” to be accounted for in returns calculation?

A simple question: When exchanging currency in order to finance an investment, is it standard/best practice to adjusted for exchange rates when calculating the NPL of that investment? For example: I, ...
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1answer
72 views

FX convention and volatility calibration

In general, call/put options are quoted with respect to their Black-Scholes volatility. In the FX market we define the risk reversal volatility as $$\sigma_{25-RR} = \sigma_{25-Call} - \sigma_{25-Put}...
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2answers
107 views

Converting time bars to tick bars or volume bars in python

Recently I've started reading Advances in Financial Machine Learning by Marcos Lopez de Prado. In the second chapter the author defines some essential financial data structures, like tick bars, volume ...
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0answers
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LIBOR OIS equation - Discount factor

I've seen this equation floating around : XCCY = FX OIS + USD LIBOR/OIS - EUR LIBOR/OIS. This equation is intuitive however there's a mention that discount factors between the two need to be taken ...
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1answer
84 views

Dollar basis calculation. Where do I miss the point?

I read that recently, due to the covid-19, the pressure on the dollar market has risen significantly on the demand side. That is why the dollar basis became largly negativ. https://www.bloomberg.com/...
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1answer
49 views

FX quoting convention

I saw the quote as this: EUR/USD 1m ATM 0.3150/0.3190. I guess these are vol levels. What the units of these bid and offer quoted?
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4answers
150 views

Real-time tick data source

I am looking for a free real time tick by tick data for training and analyzing and plotting forex charts, but I am searching a lot and I couldn't find any good data feed provider. Why there is no ...
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0answers
39 views

What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
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1answer
32 views

Compute Forward Exchange Rates using Risk Free Rates

In the following image : I am not able to understand how, the final value of strategy B can be equal to $e^{r_{GBP}T}F(0,T)$ According to me it should be just $F(0,T)$ My reasoning is that when you ...
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1answer
69 views

Implied cost of borrowing USD via an FX swap

EURUSD is quoted at 1.0879/84. Lets say O/N forward points are quoted at +0.032/+0.332. Lets say based on these quotes I want to derive my implied funding cost (USD interest rate) if I wanted to ...
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47 views

FX Smile Polynomial Fitting

I am unable to reproduce the example of FX polynomial smile interpolation on page 59 of the book FX Option Pricing by Iain Clark shown below. Consider just the ATM volatility as a specific case. I ...
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1answer
89 views

How to calculate the Fx Forward Points for 3M

I'm trying to find the FX Forward Points for 3M, the same as in the table. However, in the conventional way (Forward points = Spot x (USD Rate - EUR Rate) x 90/360) I get a different result. Can ...
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50 views

FX swap trade question

(a) today, say I did a fx swap trade: long PHP/USD spot and short 1m PHP/USD forward. Then if 1m PHP interest rate goes up, I should make money (meaning i locked in paying a lower 1m PHP interest rate ...
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1answer
427 views

Calculating FX Swap Points from various interest rate curves (and vice versa)

I have tried extensively to find the answer to this both on this website and externally. My question is 'how are FX swap points determined?' but would like to lay out my own understanding first (also ...
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1answer
101 views

Where does the 50.14348112 coefficent in the US Dollar Index formula come from?

The formula for the US Dollar Index (DXY) that every resource on the internet provides is: $$DXY = 50.14348112 × EURUSD^{-0.576} × USDJPY^{0.136} × GBPUSD^{-0.119} × USDCAD^{0.091} × USDSEK^{0.042} × ...
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4answers
101 views

Where can I retreive the end of day fx prices?

I'm developing a reporting tool and I need a data source for end of day price data. For example, it should give me the XAUUSD price at a specific date, say 2019-12-05. Do you know such a data source? ...
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2answers
6k views

Strike / delta relationship for FX options

I am trying to find out how to go from delta to strike. If we 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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