All Questions
8 questions
0
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53
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Is there a name for the common class of instrument which Spots and Forwards belong to?
I'm doing some database design where I'm modelling Forwards and Spots. They share the same schema, the only difference is that Spots have a settlement date of the time they were created at, while ...
- 101
2
votes
2
answers
85
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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 ...
- 121
2
votes
1
answer
206
views
Units of measurement for Minimum Variance Hedge Ratio
The minimum variance hedge ratio is given by $h=p*\frac{\sigma_S}{\sigma_F}$.
I was wondering if you wanted to calculate the S.D yourself and the spot prices were in Dollars per barrel while futures ...
2
votes
1
answer
1k
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 ...
- 21
2
votes
1
answer
4k
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 ...
- 21
1
vote
1
answer
396
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Spot-Forward Relationship - Proof
Does anyone know of a decent proof for the spot-forward relationship of a currency? I've been looking on Google for hours and I'm not getting anywhere. My lecture notes are useless in that they don't ...
- 33
2
votes
0
answers
85
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How should I use central banks rates in order to compute 2-day forward exchange rate on EURUSD
Good morning,
I would like to compute a 2-day forward exchange rate on EURUSD. For that, I have historical data on EURUSD spot price, and I know that theoretically, when maturity is T we have :
$F_0$...
- 21
2
votes
2
answers
362
views
Future spot price versus current forward price
Which are the two conditions necessary to claim that the future spot price will have as many chances to be above or below the current forward price?
- 25