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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NPV function sensitivity to FX rates, when those rates are not in the variables of the function
How do I calculate a sensitivity of NPV function to FX rate to the reporting (base) currency, when that FX rate is not in the variables of the said function? For example, $$f(C_1, C_2, DF_1, DF_2, [...
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Compo options on forwards - computing vega correctly
Trying to price compo options on commodity forwards and wondering how vega should be represented. The vol used to price is the "composite vol", which is: $$\sigma_Y = \sqrt{\sigma_{udl}^2 + \...
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Cross-currency Basis Adjustment for Multi-curve Models
I am studying Pricing and Trading Interest Rate Derivatives - A Practical Guide to Swaps, and I have troubles to really understand the use of cross-ccy swaps (XCS) and why the cross-ccy basis enter ...
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Calculating turns in FX SWAPS?
I'm trying to understand how to compute turn adjustments (e.g., IMM turn, month-end turn, year-end turn) in the context of FX swaps. These are the premiums or discounts embedded in forward points ...
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How can I estimate the currency basket weights of a pegged currency?
I'm working on the Tunisian Dinar (TND) which is known to be pegged to a basket of currencies, likely including the EUR, USD, GBP, and JPY. However, the exact weights of each currency in the basket ...
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Calculate return on a FX forward
If i want to do a carry trade with a forward and calculate the potential return, is it more correct to look at which one ? S = spot = 7.0 F = 1yr forward = 8.0 i_US = USD 1yr rate = 5% (F/S - 1)*100 ...
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Currency swap conversion
This snippet of a paper (MOODY’S MARKET IMPLIED RATINGS: DESCRIPTION AND METHODOLOGY LINK ) describes a currency swap calculation to convert the yield of a non-USD bond to USD. Ultimately, the authors ...
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how to structure a TARF? [duplicate]
Could you help me understand how to structure a TARF? For example, a knock-out forward is made up of: a long put option with a knock-out mechanism, which provides conditional protection against the ...
