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Quantitative Finance · Begrippenlijst

Wat is Spot value date, cross rate?

Ook bekend als: spot value date · cross rate

Definition 14.2 Markets II: Rates, FX and Credit · Hoofdstuk 14 — The FX Market

The spot value date of a trade is the day on which the two currencies are exchanged: by convention the second business day after the trade, counting only days that are business days in both currencies, and the first for dollar–Canadian dollar. A cross rate is the rate between two currencies neither of which is the dollar, such as EURJPY, traded directly or through the two dollar pairs.

Spot value dates of a dollar–yen trade done on a Tuesday. A Japanese holiday on the intermediate day pushes settlement to Friday; a US holiday on it does not; a US holiday on the value date itself does. The rule as described by Federal Reserve economists in 2003; holidays hypothetical.
Figure 14.1. Spot value dates of a dollar–yen trade done on a Tuesday. A Japanese holiday on the intermediate day pushes settlement to Friday; a US holiday on it does not; a US holiday on the value date itself does. The rule as described by Federal Reserve economists in 2003; holidays hypothetical.

Voorbeelden

Example 14.4 (Three crosses)

With EURUSD 1.1462/1.1464, USDJPY 156.86/156.88 and GBPUSD 1.3371/1.3373, the synthetic EURJPY is 179.7929/179.8472, 5.43 pips wide, a relative spread of 3.02 basis points against 1.74 and 1.27 for the legs; EURGBP is 0.85710/0.85738, 2.78 pips; GBPJPY 209.7375/209.7956, 5.81 pips. A dealer that quotes a cross directly can quote it tighter than the synthetic, but not crossed with it: a direct EURJPY bid above 179.8472 could be sold to and bought back through the legs at a profit.

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