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1

This would be a trade for Company A to earn the FX Carry. Assuming the CHF denominated bond is a 0 Coupon discount bond with a face value of 10MM CHF, is purchased at t and settles t+1. The company will buy the bond and then do the following FX Swap: 1) Leg 1: Buy 10MM USD worth of CHF for quick settlement on t+1 (normal settlement of CHF is t+2); In ...


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A Treasury department could use the FX Swap to put cash balances to work to earn a return on idle cash. The FX Swap is utilized to implement the FX Carry trade. Investors will Buy a currency at the Spot rate and Sell the same currency forward. The difference in their cost to buy the currency and the proceeds they will receive from the forward transaction ...


3

I can give you one example from EM banking sector where FX swap played a critical role in day to day operations. This EM country's Central Bank used follow fixed rate currency regime and used to keep the USD FX rate within certain bands. In the first half of the 2010's, major political events and drastic changes in commodities prices, specifically in oil ...


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Based on your description of ATM and ATMF in the comments, and my assumption that you are talking about options, an ATM trade would be an option trade where the strike would be spot and the delta would be hedged using the spot market. An ATMF trade would be an option trade where the strike would be the forward price to the expiry date of the option and the ...


0

Zipline can support any instrument type when used outside of Quantopian. You will need to pass in some price feeds for the Forex pairs that you are backtesting then run your tests.


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