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.

Filter by
Sorted by
Tagged with
0 votes
0 answers
22 views

FX vega optimisation

For a list of currencies I have aggregated and bucketed the FX vega sensitivity for fx vanilla optins per tenor and delta(25 delta calls/puts, ATM, 10 delta puts/calls) . My question is how I can ...
user avatar
2 votes
0 answers
163 views
+100

Model based PnL explain for FX Options

In FX options the vol surface for a given maturity is usually described by three or five points, I.e. Atm, 25 delta risk reversal and butterfly and 10 delta risk reversal and butterfly. Then models ...
user avatar
  • 243
0 votes
0 answers
26 views

Historical FX Data (Exchange Rate, Forex) [duplicate]

Where can you get the historical intraday price of exchange rates? It seems like a simple question but I've come up empty.
user avatar
1 vote
0 answers
59 views

Volga Vanna Pricing Approach

So when using this method to price exotic options , it's stated that we need to calculate the vanna (how vega changes with respect to change in spot prices) of the exotic option and the volga ( how ...
user avatar
1 vote
1 answer
211 views

STIR Topics: XCCY pricing and trilemma between SOFR, FF & FRA

Question on STIR. Suppose we sell a 3m JPY swap with spot start date, and we are able to back out the 3m implied JPY forward points (hence swap points), using 3m JPY OIS (3m TONA) and 3m USD OIS (3m ...
user avatar
  • 55
0 votes
1 answer
74 views

Can a Bond have FX Delta Risk?

Given we know the Notional Trade Price Currency in which the Bond Pays Coupons FX Rate from Bond Currency to USD Trying to understand if a Bond can have FX Delta Risk and how it should be computed?
user avatar
  • 103
0 votes
0 answers
46 views

Short term implied fx rate

For context, I'm working towards constructing a FX implied rate curve based on the fwd points market. As you know, most of the spot rates usually settle in t+2. We can group fwd points in two types, ...
user avatar
1 vote
2 answers
124 views

Pricing FX options on pegged currencies

I'm wondering what's the standard (if any) for practitioners to trade volatility on pegged currencies. Is there any specific convention? I'm thinking situations like EURCHF before the unpeg, how were ...
user avatar
0 votes
1 answer
110 views

Understanding FX forward points and market usage [closed]

I've been trying to make sense of how the FX forward market works. Let's say today is June 13, 2022. And we have the next market info as seen in Bloomberg for the FX cross between USDMXN, assuming mid ...
user avatar
0 votes
0 answers
100 views

The Actual Cash Flow of FX Swap (ON,TN)

I wonder like to check whether my understanding of fx swap with TN/1W is correct and know more about the market convention, ON Swap and intuitive way to understand fwd pt. USDCNH Spot: 6.65, ON ...
user avatar
1 vote
1 answer
162 views

How to build an FX curve?

Apologies for the rather broad question! Essentially, I wanted to ask how to build an FX forward curve from scratch. I have some basic understanding of interest rates and discounting but I am lacking ...
user avatar
2 votes
1 answer
99 views

question regarding relation between expectations on different measures

I am a beginner to the theory of stochastic calculus and measure change. I have derived an equation related to expectations on different measures. I wanted some expert opinion on whether this is true ...
user avatar
0 votes
1 answer
57 views

Complete formula for calculating forex pip value for XAUUSD with account funded in euros

I'm currently developping forex robot using Python API for Metatrader 5. Among different things, this robot places trades given by external signals (with price, SL and TP). I use euro funded account, ...
user avatar
  • 101
1 vote
1 answer
149 views

FX Swap PnL and NPV

Suppose I have an existing FX Swap, suppose the spot leg is already settled, so only forward leg is left. Question: What will be the P&L for this instrument - only forward leg NPV or spot leg is ...
user avatar
5 votes
2 answers
664 views

Dynamics of FX rate

I've see a couple of places where a FX rate, denoted $X$, such as EURUSD (quoted as "the number of USD needed to buy 1 EUR") is modeled with a diffusion process / Geometric Brownian Motion ...
user avatar
  • 349
0 votes
0 answers
60 views

Single Curve Problem - due to Basis [duplicate]

I recently came across the single curve problem that states that we need differenct curves for discounting cashflows and projecting forward floating rates. On google I am not able to find a proper ...
user avatar
-1 votes
1 answer
108 views

Help needed in replicating FX Implied Vol Surface

I am relatively new to this area and am doing some self studying on SLV model. I am however getting stuck on trying to replicate this implied vol surface (which I will use to calculate the local vol) ...
user avatar
1 vote
0 answers
54 views

Hedge return of foreign asset

Given that $S(T)$ is the value of an asset in a foreign currency, $X(T)$ is the spot domestic/foreign rate, $P_t$ is the value of a Portfolio in the the domestic currency (invested in $S$) and $z^{f}$ ...
user avatar
0 votes
0 answers
64 views

What type of curve is used for pricing fx forwards?

When pricing FX forwards, what type of curves are used? OIS, LIBOR, SOFR, etc?
user avatar
  • 285
2 votes
1 answer
289 views

Quantlib: day-by-day evaluation of option value

I'm using Quantlib in Python to price an FX option. I'm comparing the result to Bloomberg, to make sure the code is working correct. I want to calculate the P&L of a certain option trading ...
user avatar
  • 51
3 votes
1 answer
773 views

Quantlib: Greeks of FX option in Python

I'm using Quantlib in Python to price an FX option. I'm comparing the result to Bloomberg, to make sure the code is working correct. I also want to calculate all the Greeks, and eventually use those ...
user avatar
  • 51
0 votes
0 answers
44 views

FX weights and P&L

How to correctly express basket of currencies in and index, such that P&L would align? Assume our index is 20% EURUSD and 80% GBPUSD and rates are 1.10 and 1.31 for T1 and 1.05 and 1.35 for T2. On ...
user avatar
  • 21
0 votes
0 answers
78 views

Implied forward rate with forward points

I've been studying the application and derivation of a domestic implicit rate in a FX contract when your input are the forward points and the foreing rate. Let's establish some with some ideas first. ...
user avatar
0 votes
0 answers
57 views

"Back-Transforming" Smile Strangle into Market Strangle

I was wondering on whether FX vol experts here can comment on the following question: Suppose I have a properly stripped FX vol surface, which I constructed from ATMs and by market standard ...
user avatar
  • 573
0 votes
0 answers
86 views

Option P&L over time

I would like to compute the evolution of the P&L of an FX plain vanilla option. Unfortunately, I am not sure about the correctness of my reasoning. Let's imagine that I sell a 1W call option on a ...
user avatar
2 votes
1 answer
111 views

Hedging exchange rate risk from ADR with FX Forwards

Is there a more efficient way of hedging exchange rate risk from ADRs instead of constantly trading FX Forwards? How does the industry usually hedge that risk? Moreover, is it reasonable to suppose ...
user avatar
  • 175
0 votes
0 answers
110 views

How to calculate the tom next / TN points for EURTRY, knowing that the spot dates differ, T+1 and T+2?

My input is the swap points curves for say EURUSD (spot T+2) and USDTRY (spot date T+1) as well as a spot rate reference. The general approach for crossing when spot dates are the same is to calculate ...
user avatar
0 votes
0 answers
47 views

Hedging rates exposure in an FX options book

Fx options have exposure to the interest rates in the domestic and foreign currency. This risk can be hedged using currency forwards. In an ideal world, I suppose the best way would be to hold ...
user avatar
  • 243
0 votes
0 answers
104 views

Volatility-adjusted carry for FX Forwards

Has anyone ever heard of a volatility-adjusted carry for FX Forwards? What does it mean? I'm familiar with the concept of carry in this context, but why would it make sense to make any adjustments to ...
user avatar
  • 175
0 votes
0 answers
57 views

How do you identify nondeliverable swap

what is unique about NDS transactions, how can I identify them using certain parameters or attributes specific to NDS?
user avatar
2 votes
2 answers
355 views

Carry trade by trading FX Futures

FX carry trade is pretty clear to me when one's trading currencies physically. The return for this trade will depend on the interest rate you're paying for the USD borrowed, the foreign interest rate ...
user avatar
  • 175
1 vote
2 answers
374 views

Why would exchange rates follow a geometric brownian motion?

I'm reading Shreve's Stochastic Calculus for Finance. On page 382, he begins talking about exchange rates: Finally, there is an exchange rate $Q(t)$, which gives units of domestic currency per unit ...
user avatar
0 votes
1 answer
121 views

In FX markets, option can be expressed as either call or put. Explain

For example, if option contract has condition: $AUDUSD = 0.8$ at the maturity date, and current exchange rate is $1 AUD = 0.75 USD$. For this option, it could be considered a call option on $USD$, and ...
user avatar
  • 115
0 votes
1 answer
54 views

Euro/Foreign Exchange Volumes

I'm trying to put together a financial analysis notebook as part of a data science program. One thing I am trying to find is the frequency of currencies that are traded with the Euro. I have looked at ...
user avatar
1 vote
1 answer
196 views

Triangular Arbitrage In FX Volatility

If I know the price of $GBPUSD$ and $EURUSD$, I can retrive the $EURGBP$ price simple by $EURGBP = \frac{GBPUSD}{EURUSD}$. Is there something equivalent to FX Volatility? Knowing the $\sigma_{GBPUSD}$,...
user avatar
3 votes
0 answers
172 views

Delta of FX Options, Different Currency in Trading Book - Trading Interview Question

Having done stochastic analysis in university, together with tons of other math courses, do never prepare you for an actual interview in trading. Stumbled on what I believe might be an easy question, ...
user avatar
  • 31
0 votes
0 answers
72 views

Fx futures pairs

I want to setup a pairs trade with the Japanese yen as the quote currency and Mexican peso as the basis currency. (long MXP vs JPY) 2 /M6J contracts, notional is 1,250,000 JPY = 10966.5*2 = 21933 USD ...
user avatar
0 votes
0 answers
17 views

On paper profitable tp's are not triggering USDRUB + other funky things

I am trading USDRUB. I had a short position open today, and suddenly the pair trended downward and should have triggered a TP but didn't. I am using MT4 client with FxOpen as my ECN broker. Can anyone ...
user avatar
0 votes
0 answers
51 views

Rates arbitrage - practical trade example, is it actually risk free or can it burn?

The trade: Imagine a bank balance sheet as follows: One liability: GBP 100m deposit fixed term 6 month One asset: JPY 153m government bond maturing in 1 year (£100m equivalent, spot rate 153) ...
user avatar
  • 507
2 votes
1 answer
223 views

Data source for FX options

I have daily quotes for the new york and london fixings of fx options on EURUSD. I can choose between two sources: BGN and CMPN. Apparently these are based on slightly different methods of aggregating ...
user avatar
  • 243
0 votes
2 answers
196 views

FX option quotation in interbank market

I am looking at the different ways in which FX options (say EUR/USD option) are quoted in interbank markets. Is it quoted using the option chain? I also saw a piece where it is said that it is quoted ...
user avatar
3 votes
1 answer
408 views

Inflation effect on FX rates

With UK's inflation surging to 3.2% as per the published figures today reported by the FT, it is interesting to ponder the effect of rising inflation on FX rates. The article linked above points out ...
user avatar
  • 5,191
0 votes
0 answers
60 views

sizing fx futures trades by targeting volatility

If I lever up a JPY/USD futures with a 6% volatility/contract 2x to meet my 12% volatility target, how many contracts should I buy per $100,000 I have in liquidity? How do I size my position based on ...
user avatar
  • 13
0 votes
1 answer
78 views

FX option premium conversion from one currency to another

Suppose we have an FX option with the underlying FX rate $X^{FOR/DOM}$ and suppose we used a Black like formula to get the price, which is given in domestic currency. How can one simply convert the ...
user avatar
  • 125
0 votes
1 answer
131 views

Interpreting an Order Book (example Kraken.com)

An (forex) Order Book (OB) for a trading (forex) pair (e.g. XBT-USD) has ASK and BID rows. Each row has PRICE and VOLUME (at least). Each row represents an offer for selling or buying a maximum of ...
user avatar
  • 101
0 votes
0 answers
111 views

FX options: is convexity usually heavily overpriced?

I have access to daily vol quotes for EURUSD options from 2006 to today. I was playing around with them and constructed a "daily rolled backtest" for various options constructs, like ...
user avatar
  • 243
0 votes
0 answers
118 views

Conventions for FX Options

I am looking for conventions (delta, atm, premium adjusted) related to FX Options. For popular currency pairs (e.g. USD EUR) they should be found in Ian Clark's Foreign Exchange Option Pricing. But ...
user avatar
2 votes
0 answers
33 views

How to find percentage of FX exposure hedged through financial statements

I am analyzing a company's annual report, and wish to find the percentage of FX exposure they have already hedged. I have the following information: The net FX exposure for 4 different years The ...
user avatar
  • 41
0 votes
1 answer
60 views

What is 450 pips below spot for USD - JPY currency pair?

I'm new to FX derivatives and I'm trying to price a derivative of USD - JPY pair at 450 pips below spot for USD - JPY. Let's assume that the spot is 109.36; would this mean that 450 pips below spot is ...
user avatar
2 votes
1 answer
114 views

FX Asian Option Moment-matching in Harmonic case

I need to price a "foreign-paying" fixed-strike Asian (i.e., average) option. Thus, the payoff is: $$\left(\frac{A_T - K}{A_T}\right)^{+} = \left(1 - \frac{K}{A_T}\right)^{+} = K \left(\frac{...
user avatar
  • 61

1
2 3 4 5
12