جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Non-deliverable forward, fixing source؟

يُعرف أيضًا باسم: non-deliverable forward · fixing source

Definition 18.4 Markets II: Rates, FX and Credit · الفصل 18 — Emerging-Market FX and NDFs

A non-deliverable forward (NDF) is a forward on a currency pair that is settled in cash, in dollars, for the difference between the contract rate KK and a published fixing rate SS on a fixing date: on a dollar notional NN, the dollar buyer receives N(S−K)/SN(S - K)/S. The fixing source is the rate the contract names for SS, usually a rate published by the local central bank or an official agent.

CurrencyFixing source (EMTA code)Published by, around
Indian rupeeINR FBILFinancial Benchmarks India, 13:30 Mumbai
Brazilian realBRL PTAXBanco Central do Brasil, 13:15 São Paulo
Chinese renminbiCNY SAECCFETS for the People’s Bank, 9:15 Beijing
Korean wonKRW KFTC18Seoul Money Brokerage, 16:00 Seoul
Taiwan dollarTWD TAIFX1Taipei Forex, 11:00 Taipei
Fixing sources of five NDF currencies, each “for settlement in two business days”, in Annex A to the 1998 FX and Currency Option Definitions (as of June 2023).
The life of a non-deliverable forward. The contract rate is agreed at the trade; two business days before settlement the fixing source publishes the rate, and on the settlement date the difference is paid in dollars. Schematic.
Figure 18.2. The life of a non-deliverable forward. The contract rate is agreed at the trade; two business days before settlement the fixing source publishes the rate, and on the settlement date the difference is paid in dollars. Schematic.

أمثلة

Example 18.5 (A won NDF)

A fund buys USD 10 million three months forward against won in an NDF at 1 380.00, settling on Tuesday 13 October 2026. The fixing is taken two business days before, on Friday 9 October, at 1 425.50: the fund receives 10 000 000×45.50/1 425.50=USD 319 18610\,000\,000 \times 45.50/1\,425.50 = \text{USD}~319\,186. Had the won fixed at 1 350.00, the fund would have paid USD 222 222.

اقرأ في الفصل →