Statistics: Posted by ISayMoo — Yesterday, 11:13 pm

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1) Outstanding derivatives data isn't available for all companies.

2) Should I take Foreign currency long term borrowings only or current maturities and short term borrowings too?

3) Is the foreign currency earnings and expenditure a right indicator of it's trade receivables and payables exposed to foreign currency risk?

4) Should I net these Earnings and expenditure or add them?

5) Many a times firms have mentioned unhedged exposures. In that case, I am subtracting the unhedged exposure from Net exposure(Sum of FC borrowings, earning and expenditure) to reach to the hedged or (Outstanding derivatives notional)

6) Also, I am highly confused with some companies who haven't mentioned if the contracts are outstanding notional or fair/carrying value. In that case what to do?

7) Am i doing the right thing by considering all fair value, not designated as hedge etc. items together?

8) Also, Please give any more suggestions or ways in which I should approach this task.

Thanks a lot in advance.

Statistics: Posted by CuriousCase — May 18th, 2018, 11:51 am

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Badly chosen name (confusing). Besides, are you also betting on Catalonia.

feels like

Croat = Bitcoin + nostalgia.

A new currency is the least of your worries at this moment.

I have a little theory that "croat" actually is what the fox says.

Statistics: Posted by tagoma — May 15th, 2018, 9:02 pm

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Statistics: Posted by cashlover — May 13th, 2018, 2:49 pm

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Can someone please explain to me what is the difference between a trading portfolio and a trading book for a trader?

Many Thanks,

Statistics: Posted by xingwei86524 — May 12th, 2018, 3:58 pm

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That's why it is interesting to see that some traders consitently do make money in Forex:

https://letyourmoneygrow.com/2018/05/07/12-consistentently-profitable-automatic-fx-strategies/

Statistics: Posted by finanzmaster — May 8th, 2018, 10:32 pm

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Is there an equivalent of Trade-Alert for FX options?

Statistics: Posted by FaridMoussaoui — May 2nd, 2018, 12:47 pm

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I think I can model spreads because it looks like all banks discount them similarly, hence I assumed they all used similar model behind the front end (we trading electronically and prices coming back within milliseconds, hence it is unlikely humans manually adjust spreads, there is a model behind pricing, which seems to be consistent between banks)

Looks like they all discount spread similarly. Of course there are variations but seems they are using similar methodology, one thing we noticed is usually spread larger the larger the vega of the traded structure is. The logic is of course if banks buy sell vega from/to us they need to hedge it in the open market. But we failed to reverse engineer it further. I thought it might be a common knowledge among FX OTC vol traders how spread price is computed.

Statistics: Posted by fxquant2 — May 2nd, 2018, 10:14 am

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- When you ask for prices, put banks in competition. Ask around 3 banks (depending on the type of option), but don't ask the whole street. That's senseless and just pisses ppl off, and would probably work against you anyway, especially if you trade larger sizes

- Try to trade packages as much as possible

- Monitor the hit ratio of the banks obviously, but also try to find out the axes of the banks, what they're good in etc

- Maintain good relationships with counterparties

Statistics: Posted by frolloos — May 2nd, 2018, 6:56 am

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The less risk the bank needs to take on, the less the spread they'll charge, hence b/a spreads on packages (especially if there are offsetting risks in the package) are usually tighter than b/a spreads on individual legs - that's the easy part.

But there are other factors, like the balance sheet cost of risk for the bank, how easily they can recycle the risk, and last but not least, how much spread does the trading desk want, how much the sales desk wants, how they measure counterparty risk etc etc.

Statistics: Posted by frolloos — May 2nd, 2018, 6:40 am

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SpreadBidAsk < BidAskLeg1+ BIdAskLeg2

Does anyone know which formula is used by quoting banks to compute spreadBidAsk as a function of Spreads of individual legs

SpreadBidAsk = F(BidAskLeg1, BIdAskLeg2)

This relationship is non-linear and depends on difference of maturities of two legs and difference in their delta. The further away options are from each other in maturity and in delta space the less saving on bidask you get. I tried to reverse engineering the formula from the bank quotes but have limited success. If anyone is able to help it would be very useful. Trading RR could be for instance sometimes cheaper than trading individual legs of the RR.

Out strategy is very cost sensitive and we would like to put this F(BidAskLeg1, BIdAskLeg2) into our optimizer to rduce costs.

Thanks to anyone who could help.

Statistics: Posted by fxquant2 — May 1st, 2018, 1:22 pm

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