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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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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33 views

What trading granularity has the strongest self-influence on Forex market?

As I understand, the effects that influence the Forex prices (for the major pairs) can be described as: inside effects - short term speculations by humans/robots real world events - larger scale ...
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Payment Gateways' market risk: where does it come from?

Companies like Square and Adyen and Paypal are flourishing. They facilitate payments between people and business in various currencies and provide small loans. However as they are not banks they are ...
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252 views

FX TARF hedging (target redemption forward)

Lets say client is buying from you eurusd tarf strike 1,16 sell eur buy usd notional per fixing 500k usd leverage 2 first expiry 1 month from now, 12 fixings in total (monthly) full final payout ...
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45 views

Currency exchange rate

I'm working with monthly data and I need to use FX rate in my model. I have daily data for exchange rate and not sure how to average it over the month. Should I compute simple arithmetic average over ...
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39 views

How to backtest a sample of trades to optimize stop loss on losing trades and profit targets on winning trades?

I have a history of hundreds of executed trades. Given those trades, I want to know if there's a tool or framework that can help me figuring out: What would have been the most cost efficient stop ...
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64 views

Cancelable Forward

How I could modeling a break forward or cancelable forward? Could I use Swaption model or only by montecarlo simulation? I have (X-F) for 2Y but I have option to cancel in 0,5Y by a premium price
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36 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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477 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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68 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 ...
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519 views

NOP delta is Delta times 10000?

I heard someone saying that "in FX world, NOP Delta is Delta times 10,000", what does it mean ? I take Delta is always the change of option price divided by the change or the underlying, e.g. EUR/USD ...
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114 views

Monte Carlo volatily

I was wondering if we could do a forecast on volatility using monte carlo on an underlying asset. For example EUR/USD : Simulating a lot of possible paths on 1 year then calculate the volatilty for ...
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84 views

Common pre-processing steps for forex data

This is almost certainly going to make me seem like a novice, but googling for answers is very difficult for this sort of thing. My friend asked me to take a look at some forex data recently. My ...
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673 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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573 views

How to reduce fx currency pairs ? PCA or other tools?

I have 19 currency pairs like USD.AUD, USD.CAD, etc. Also 82 cross currency pairs like AUD.CAD, EUR.AUD,EUR.CAD etc. When I look to their graphs, most look similar, so I want to reduce number of pair ...
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80 views

real time tick data source

Hello 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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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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229 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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4answers
119 views

Sending order to Forex or Stocks from Python strategy

I have my own strategy developed in Python. But I couldn't find a reliable method to send, close, and modify orders using Python. Are there any tools that help order management using Python? I also ...

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