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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Hull-White model with multiple times involved

Consider a pair of currencies $d, f$ (domestic and foreign, respectively) for which we use independent Hull-White models for their rates, $$dr_d=(\theta_d-a_dr_d)dt+\sigma_ddW_d,$$ $$dr_f=(\theta_f-...
Stoop's user avatar
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Test Formula for Cross-Currency Basis by Using S, F and Rates. What Rates to Use?

I am trying to recreate the charts on slide 6 on the below. Basically "test" the formula for the cross-currency basis for EURUSD. I am using as target EUXOQQ1 BGN Crncy, which is the ESTRON ...
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Calculating marginal risk contribution of FX for foreign asset portfolio

I am a European investor investing in US equities. My US equities portfolio returns in EUR can be broken down into (1) equities returns in USD terms, and (2) USDEUR spot currency returns. Using the ...
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How to Correctly Price Currency Forwards/Futures [duplicate]

I am trying to understand how to price a forward contract on the GBP/USD currency pair and then compare my answer with current future prices on GBP/USD. If my understanding is correct I believe we ...
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help calculating Pnl for fx forwards

Below there is a trader’s portfolio. What is PnL explain for eod 04-July-2022? If you think that some information is missed feel free to add any data you need for calculations. ...
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Bootstrapping yield curve with forward rates using QuantLib

I'm attempting to calculate a GBP yield curve using a USD OIS rate curve and the FX Forward rates using Quantlib. I am trying to replicate the output of a different library, and am close but can't ...
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Calculate minimum variance hedge ratio for foreign-denominated asset hedged to domestic currency

The formula for minimum variance hedge ratio (MVHR) is conceptually the correlation multiplied by the ratios of volatilities. correl (Y,X) * (STDEV Y / STDEV X) ...
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find fx forward rate from AUD FX_RFR and SORA_FX [duplicate]

I am trying to derive AUDSGD forward rate. I have curves like AUD fx rfr curve which is comprised on the AUDOIS rates till 1year and AUD-USD rates based on the basis for 1year+. Similarly for SGD. ...
toobigtofail's user avatar
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Guidance on Execution Algo Passive order placer?

Could someone help with any relevant literature about building an Execution Algo and things to consider and keep in mind for optimal passive order placements? There are basic algos like TWAP/VWAP/POV ...
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In a forex statement summary, what does "posted at statement period of time" mean?

My question probably is the result of my lack of knowledge of the English language. I am located in Germany and have an account with FXCM, a company that enables private people to participate at forex ...
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Calibrating an FX Vol surface via Global Optimiser

My objective is to determine an FX volatility surface calibrated by interbank market prices. Suppose that a vol surface, $\Sigma(t,k)$, returns a volatility for time to expiry and strike. The surface ...
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Calculting Strike from Delta on an FX Risk Reversal Component

As part of a trade confirmation I have the following information: ...
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Where can I get free FX options chain data [duplicate]

Basically title. Can either be through an API or easily downloadable as a CSV file. Every source I find either have options chain data but not for FX, has historical FX data but not an actual chain ...
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How does historical data from bloomberg interact with timezones?

I'm running analysis on multiple countries bonds over a long stretch of time. I was asked about what determines the date of data in Bloomberg, ex: December 31st in NY will be January 1st in Japan and ...
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Present value of an FX Forward contract at each simulation and time point node of a Monte Carlo simulation

Recently I started dealing with the xVA and the associated EPE and ENE concepts. In a numerical example of an FX Forward, after simulating the underlying FX spot $S_t$ (units of domestic per unit of ...
Whitebeard13's user avatar
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Unexpected negative roll yield on USD/EUR forward?

on June 1st 2023, 1 EUR was buying 1.0762 USD spot. In the forward market, one could sell EUR 3m forward for 1.0816 USD. Forward rate was greater than the spot rate, therefore EUR was trading at a ...
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Hedging FX Risk of a fund

I manage a mutual fund where the underlying assets (or the shares i buys) are in USD, and my mutual fund is in CLP (Chilean Pesos). How can i hedge this fx risk without affecting the return of the ...
user70213's user avatar
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How do we price a Non-USD currency FX Forward pair by using cross-currency basis for each currency?

For e.g., when pricing a GBPUSD FX-Forward we build the USD SOFR curve through which we get USD risk-free rate. For the GBP risk-free rate, we use the sum of GBPUSD Basis and SONIA. However, if we ...
humanoid's user avatar
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What will be the payoff equation of a GBPUSD European Exotic option/FX forward with Notional in USD [duplicate]

Given the currency pair , GBPUSD with spot price as $S_t$ at time $t$, Strike price as $K$, $I$ is an indicator function indicating if GBPUSD is below the "Knock-in-Rate" at expiry, $L$ ...
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Lend $ synthetically at higher yield using ¥: it works but why?

The Trade is: You have USD 100m funding Swap USD for YEN equivalent at today's spot, agree to swap back in 12 months at the USD/JPY forward rate With the YEN buy a 12 months Japanese Government bond ...
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Sticky delta vs sticky strike

I have been trying to get my head around these concepts but what I have found online has caused more confusion: specifically why a sticky delta model might lead to a higher delta or no. of contracts ...
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Extending/Subclassing QuantLib Classes in Python?

I'm using quantlib via the quantlib-python or open-source-risk-engine both on pypi. The question relates whether it's possible to extend QuantLib term structure base classes in python rather than C++....
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WHAT IS THE FX/OIS SPREAD ? WHAT CAN i USE IT FOR? [duplicate]

What's an example of fx/ois spread , lets say I am looking at BOE , what spread would I be looking at to see the funding stress or to see if year end turns is trading at a premium or now . I am on ...
EarlyFx's user avatar
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FX FORWARDS Calculating funding cost and wether funding will be expensive or not

Lets say for example my TN for USDHKD point per day spot is -1.9467 and for 1mnth it is -1.4142 and the notional is 100m HKD dollars. Would you say more or less I would be flat in terms of funding ? ...
EarlyFx's user avatar
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Vega, square root of time, and ATM straddles

Could someone intuitively explain why for say a 1y EURUSD option - If you buy 100 (50/leg of straddle) of 1y at the money EUR vol, that = sq root of 12 x 100 = roughly 350k of EUR vol. If you buy 100 ...
Danny's user avatar
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Explanation of Risk Proxies in FX

I came across the following line in an article: "Risk proxies traded heavy despite the rally in rates helping the S&P500 to its 4th consecutive green day." I would like to understand ...
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How to Bloomberg compute the implied Yield ? What is FX swap basis spread?

Question 1: You can see Bloomberg EUR/USD FXFA<go> page attached below EUR 3 months yield=3.9412 US 3 months yield= 5.6683 Spot Rate: 1.0580 How does it find FX swap rate as 1.062732? Question ...
Engin YILMAZ's user avatar
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Assessing the value of risk reversal and the fly

This is important for traders. What I'm really asking is how do we ascertain if vanna (or dvegadspot) is being valued correctly by the market? and for the fly, fair fly value will be a combination of ...
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Best practices for building an FX volatility surface with Quantlib in Python

Generally my question is: what are best practices for building FX volatility surfaces with Quantlib? In FX options, I would like to price structures such as risk reversals, strangles and butterflies. ...
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Why sometimes fx forward positions are built via spot + fx swap trades rather than outright fx foward trade?

Say instead of directly buying 2m EUR Jan 31,2024 forward, you buy 2m EUR spot and the swap that with Jan 31, 2024 as forward date. Why would transaction costs will be less than the outright forward ...
quantpadawan's user avatar
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FRTB - SA Curvature cross gamma with FX options

Under the FRTB we do an downwards and upwards shocks reating to the each of the risk factors. FX risk is also calculated as the change in respect to the reporting currency to each of legs of the trade....
Ben Watson's user avatar
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Calculating the Delta of FX option

I'm tying to reconcile the delta value for an FX option. I'm comparing the results to Bloomberg to verify our calculation is correct. I've looked at this - Quantlib: Greeks of FX option in Python but ...
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FX option premium % from one currency to another [duplicate]

Assuming I am pricing a AUDcUSDp 1w 0.6630, 0.6576 spot, how do get convert the premium in % from USD to AUD? I also realise the premium differs when I select it as AUD and USD in Bloomberg. Is it ...
Edwin Soon's user avatar
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1 answer
244 views

Why is the NPV of this FX Forward 0?

I've checked similar questions and answers but even after setting the evaluation date in ql.settings I still get zero. Like another poster, I also have the QL cookbook and have read everything I could ...
PythonAutomation's user avatar
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building an em fx forward curve with forward spreads

Like the title suggests, I'm trying to build a forward curve for exchange rates in USD/em currencies. I have certain forward points already, but they're in spreads and ideally, I'd like to construct ...
quantwannabe's user avatar
2 votes
1 answer
261 views

Pricing an American FX Option using Quantlib

I need some guidance on valuing American style FX options (spots and forwards) using quantlib in Python. Given the following parameters: Domestic and foreign risk-free rates Current market spot and ...
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Typical values Heston parameters for FX options

I am not as familiar with FX options as I am with equity index options. For the purposes of numerical testing/experiments I'd appreciate if somebody could tell me what are typical parameter values for ...
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Foreign equity call struck in domestic currency

I'm trying to get a solution for the foreign equity call struck in domestic currency, where the foreign equity in domestic currency is defined as $S=S^fX^\phi$ with $0<\phi<1$, instead of the ...
user67642's user avatar
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Hedging of FX combo trade

Say we’re selling a TRS on a local MSCI index denominated in USD and delta hedge it by buying eq futures on that local index denominated in local currency (non USD). Let’s also ignore repo/div/ir risk ...
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Is it okay to fetch market data from platform A and trade on platform B? (Forex)

I am currently trading forex on capital.com but since they don't offer tick data I am considering to fetch the tick data from polygon.io and then trade on capital.com. Though I am wondering if this is ...
user7934593's user avatar
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1 answer
203 views

Bloomberg FXFM: what is the point of knowing risk neutral probabilities?

Among other things, Bloomberg FXFM function allows you to check risk neutral probabilities for currencies. For instance, you can check the probability of the euro depreciating 5% vs the dollar in 6 ...
Peter's user avatar
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Can you actually earn the carry return in FX? [closed]

I know that carry is an important factor to value currency. However, it is not obvious to me how you can actually earn the carry return, and if as a pure currency investor, should not you be ...
Peter's user avatar
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How fast is the forex market regenerated?

I'm doing some statistics in order to evaluate the Forex market profitability. I first define what I call "regeneration of the market". For example, the following fictive order-book of ...
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Is there a API to obtain real-time forex data in seconds?

I wanted to get sell, buy and recent trades of a currency in intervals of seconds but was only able to find APIs which offer a minimum interval of one minute (I checked Polygon and Alpha Advantage). ...
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USDBRL Forward Points

USDBRL 1 year forward points are at 0.32 while SELIC (Brazil central bank rate) is at 13.75% and the CDI (interbank rate) is about 11.50% vs USD swap rates at around 4%. What is the explanation behind ...
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Spot markup on even and mismatch FX swaps

I am a Business Analyst working on a requirement around giving Sales users the ability to add a Spot markup on an FX Swap. I just wanted to understand the relationship between Trader Spot, Spot Markup ...
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Risk free rate for currency option

I’m trying to price a call option on EUR/GBP exchange rate and it expires in 1 year. Should I use GBP Libor as foreign risk free rate in order to apply BS formula? The pricing date is 02/21/2023 but ...
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Shape of FX Volatility Surface

I'm familiar with the volatility surface for equity options with the smile/skew dynamic and flattening with increased maturity, and the explanation/intuition behind its shape. However, today I came ...
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What is the meaning of Domestic Exchange Rate here?

So I have the following formula for the Pricing of a Quanto Option (see image below). While I understand this formula pretty well, I am not sure what is referred to as "domestic exchange rate&...
Ozee's user avatar
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How a trade influence the forex market?

I'm trying to program a basic forex simulator in order to test strategies. But I don't know how is influenced the market when a position is opened or closed. For example, if I open a 10 000 000 € BUY ...
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