All Questions
8 questions
0
votes
1
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139
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PIP Value conversion - How can I convert my Pips? general formula [closed]
So I was wondering, how I can convert for example a 20 pips charge is(Spot: 1.0250 with pips 1.0270) on EURUSD into EURCNH Pips with (Spot EURCNH at 7.3005). Is there a general formula and short-cut?
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0
votes
1
answer
104
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FX spot distribution with student-t returns
If I am modelling my returns as $\sim N(0, \sigma^2)$, then I can evolve my spot distribution as: $$S_{t} = S_{0}e^{(\mu - \frac{1}{2}\sigma^{2})t + \sigma dW_{t}}$$
where $S_{0}$ is the spot, $\mu$ ...
- 141
2
votes
2
answers
85
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 ...
- 121
-2
votes
1
answer
345
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Link between spot and forward rates in no-arbitrage world
With reference to the forward exchange rate definition, let be:
$S$: the spot rate
$F$: the forward rate
$r_d$ and $r_f$: respectively the domestic and foreign interest rates
$DF_d$ and $DF_f$: ...
2
votes
1
answer
1k
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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
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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
2k
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Implied AUD Interest Rate from USDAUD FX Swap and USD Interest Rate
Can someone help me understand how to derive the implied interest rate or spot rate in BBG FXFA?
I actually get why the Forward rate, F_Ask and F_Bid are derived using the formula in the picture.
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- 49
5
votes
2
answers
707
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Predicting the Future FX Spot Rates
Say I need to predict what the spot rate between USD and CAD will be in 3 months. What will be the most accurate measure or model that I could possibly use? Does the 3 month forward rate necessarily ...
- 1,074