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10 votes
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How to Bloomberg compute the implied Yield ? What is FX swap basis spread?

1 ) The value 1.062732 is the Forward outright as quoted on FRD. Your pricing source is BGN (Bloomberg Generic New York). That ...
AKdemy's user avatar
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5 votes

Unexpected negative roll yield on USD/EUR forward?

I am not sure what you mean with unexpected negative yield? Who claims covered interest rate parity (CIP) is an unbiased forecast for exchange rates? Empirically, random-walk (RW) forecasts (which in ...
AKdemy's user avatar
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5 votes
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Explanation of Risk Proxies in FX

Risky things (including currencies) are sometimes called risk proxies, safe things are risk havens. (USD and to some extent JPY, CHF are said to go up in times of trouble (safe haven currencies), EM ...
nbbo2's user avatar
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4 votes
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Why is the NPV of this FX Forward 0?

This is not an FX Forward but a Forward Rate Agreement (a rates product). I'm not sure if QuantLib has a FX Forward pricer but they do have one for FX swaps (see ...
oronimbus's user avatar
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4 votes

Sticky delta vs sticky strike

By doing a bit of differential chasing you can get a closed form solution for the adapted aka sticky delta of a market call option. Recall that the price C of a market call option is given by the ...
river_rat's user avatar
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4 votes
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Extending/Subclassing QuantLib Classes in Python?

I think you can use a combination of the ql.DeltaVolQuote and ql.BlackDeltaCalculator classes with the ...
user35980's user avatar
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3 votes

Calculating marginal risk contribution of FX for foreign asset portfolio

I am not sure what you mean by Marginal Risk Contribution in this case. A European investor in American stocks experiences a different variance of returns than a US investor. Define the following: ...
nbbo2's user avatar
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3 votes

How to Bloomberg compute the implied Yield ? What is FX swap basis spread?

In my opinion the first column is the market EURUSD FX forward BID rate. So they find the market price 1.062732. It looks like it is a spread between Implied USD Yield and market USD Yield. In my ...
bartosz.leszynski's user avatar
3 votes
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Why does the EUR/USD exchange rate is in fact USD/EUR from a mathematical point of view? Why finance does not use the mathematical notation?

(1) Suppose 1 EUR = 1.08 USD. Here, EUR and USD are units of measure in que value dimention. (2) Dividing by USD, EUR/USD = 1.08,...
Rodolfo Oviedo's user avatar
3 votes
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Pricing an American FX Option using Quantlib

The GarmanKohlagenProcess manages both foreign and domestic curves and can be passed to every engine that asks for a ...
Luigi Ballabio's user avatar
3 votes

Is there a API to obtain real-time forex data in seconds?

One of the most frequently updated Forex APIs I have come across is Tradermade Data API Data updates sub-second with 100s of quotes per minute.
Sachin's user avatar
  • 31
2 votes

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

Straight is Even amounts ie: 100 USDJPY in the near leg and far leg Split is Uneven amounts ie: 100 near leg then 100.1 for the far leg Usually this is done to mitigate creating spot risk from doing ...
user70744's user avatar
2 votes

Understanding FX forward points and market usage

Your wrote ON : Does it mean I could buy today 100,000 USD at 20.4579 MXN, but tomorrow I would have to sell those 100,000 USD ... ? No, it is the opposite. By ...
nbbo2's user avatar
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2 votes
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Typical values Heston parameters for FX options

Since no one answered yet I'll provide a few numbers from Bloomberg's OVML as mentioned in a comment. The following logic is used by Bloomberg: The Heston model parameters are calibrated to at-the-...
AKdemy's user avatar
  • 9,014
2 votes

Extending/Subclassing QuantLib Classes in Python?

Just to confirm: subclassing the Python wrappers doesn't work.
Luigi Ballabio's user avatar
2 votes
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Why sometimes fx forward positions are built via spot + fx swap trades rather than outright fx foward trade?

It really is the same trade because the spot flows exactly offset the initial exchange on the fx swap. The interbank market consists of two separate components a) spot prices and b) forward points ...
dm63's user avatar
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2 votes

Calculating the Delta of FX option

What you look at here is not a normal option. The type is called DIVA, which stands for digital vanilla, which is a binary option. Bloomberg computes this via a tight spread. However, you have a few ...
AKdemy's user avatar
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2 votes

Sticky delta vs sticky strike

A simple example. Suppose you have a call and spot rallies ($\Delta S >0$), say your skew is downward sloping, then you would make money but not as much as you'd think in a sticky delta regime. ...
user68819's user avatar
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2 votes
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Calibrating an FX Vol surface via Global Optimiser

I would practically approach this differently. First derive spot option prices from the spread strategies, both bid and ask if possible. Second derive the actual strike/volatility of all available ...
Yike Lu's user avatar
  • 266
2 votes
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Calculting Strike from Delta on an FX Risk Reversal Component

I think your answer is actually misleading. Using standard Black Scholes (Garman Kohlhagen) will not give you the values for either premium or delta, using the inputs and trade parameters you provided....
AKdemy's user avatar
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2 votes

Calculting Strike from Delta on an FX Risk Reversal Component

So the closest I could get was using the formulae from the attached reference: $$ v = \frac{\text{discount factor at delivery}}{\text{discount factor at spot}} \\ K = f e^{\left ( -\Phi^{-1}(\frac{25\%...
Attack68's user avatar
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2 votes

How to Correctly Price Currency Forwards/Futures

You seem to be a bit confused on the multiple different definitions (formulae 1 - 3). Let me give you a better one: $$ 4) \qquad F_t = S_0 \frac{v_t}{w_t} $$ where $S_0$ is the immediate currency ...
Attack68's user avatar
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2 votes

What XCCY pricing inputs do large market makers use for FX Forwards/Swaps?

To be blunt, we make them up - generally as an implied yield over sofr if usd is the main base currency quote. This is fundamentally true for almost every derivative price, at some level the price ...
river_rat's user avatar
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2 votes
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Competitive quote convention for FX swaps

For an FX swap the sensitivity of the PV of a transaction has small exposure to the spot FX rate, which is often mitigated by transactions conventions. The dominant risk quantity to which you are ...
Attack68's user avatar
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1 vote

Calculate minimum variance hedge ratio for foreign-denominated asset hedged to domestic currency

From what I understand about your problem, you are a EUR investor looking to hedge the downside risk of USD depreciating against EUR such that returns earned in a USD ETF are worth less in your ...
KaiSqDist's user avatar
  • 1,409
1 vote

How does historical data from bloomberg interact with timezones?

For desktop APIs like BDP, BDH etc it expects the local time that is setup on your terminal. For programming APIs (i.e python, C++, COM Data control etc) you have to provide input dates and times in ...
Tarun Bhasker L's user avatar
1 vote
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Present value of an FX Forward contract at each simulation and time point node of a Monte Carlo simulation

An answer has already been provided in this discussion: How to price the FX forward contract under stochastic interest rates? Here is a summary of the (backward) derivation of equation (1): $$ V_{t} = ...
Whitebeard13's user avatar
1 vote

How do we price a Non-USD currency FX Forward pair by using cross-currency basis for each currency?

This is just an extension of @Dimitri 's answer but with numbers to eluciate the concept. when pricing a GBPUSD FX-Forward we build the USD SOFR curve through which we get USD risk-free rate. For the ...
Attack68's user avatar
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1 vote

How do we price a Non-USD currency FX Forward pair by using cross-currency basis for each currency?

If your accounting is in ccy$_0$, such as USD or EUR, then you discount the ccy$_1$ leg of the ccy$_1$-ccy$_2$ forward with ccy$_1$ rfr + ccy$_1$-ccy$_0$ cross-currency basis spread and likewise ...
Dimitri Vulis's user avatar
1 vote

Sticky delta vs sticky strike

I always find charts intuitive. I'll look at calls, but it is straigthforward to extend it to puts as well. As mentioned in a comment: Sticky strike is really just black Scholes delta computed with ...
AKdemy's user avatar
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