<t>The only solution involving a significant expenditure that would ever be sanctioned would certainly NOT play to the favour of HFT. Almost certainly the diametric opposite (imho). Quote throttling around data release times to slow EVERYONE down to the same level and therefore heavily restrict fast...

in OTC options there is another consideration - credit line usage. If the option is marked for line usage on a delta basis the ITM is gonna take up a far lumpier piece of the line. Plus the premiums are gonna be bigger too.

<t>Ok,Firstly, for your specific examply of CAD/JPY (note market convention in terms of which way round to price), the euro is a red herring. This would price as usdjpy / usdcad. The problem with your suggestion of using eurjpy / eurcad as a way of getting round the whole usd holiday issue is 1) It ...

<t>Thanks for the response. I was basically aware that there may be some additional inputs required. Wasn't quite expecting to be able to simply plug in 2 time series (although, reading my post, I see now that this is EXACTLY how I must have come across). And (I think) I do understand the basic conc...

<t>Hi,First post. Just want to know if anyone has a spreadsheet, or knows of the existence of one, whereby I can plug in two data series and test to see if one granger causes the other. I'm most definitely NOT a quant so go gently please. Something fairly user friendly and robust needed.Thanks a lot...