Labels

_fuxi (75) _IV (146) _misc (5) {610610 (30) algo (1) automatedTrading (8) banking/economy (3) book (14) c++misc (125) c++real (15) c++STL/java_container (7) cppTemplate (1) db (13) DB_tuning (4) deepUnder (1) dotnet (69) eTip (17) excelVBA (12) finance+sys (34) financeMisc (24) financeRisk (2) financeTechMisc (4) financeVol (21) finmath (17) fixedIncome (25) forex (16) IDE (24) invest (1) java (43) latency (4) LinearAlgebra (3) math (30) matlab (24) memoryMgmt (11) metaPrograming (2) MOM (15) msfm (1) murex (4) nofx (11) nosql (3) OO_Design (1) original_content (4) scriptUnixAutosys (19) SOA (7) socket/stream (15) sticky (1) subquery+join (2) swing (32) sybase (6) tech_orphan (12) tech+fin_career (30) telco (11) thread (21) timeSaver (13) tune (10) US_imm (2) US_misc (2) windoz (20) z_algo+dataStructure (4) z_arch (2) z_c#GUI (30) z_career (10) z_career]US^Asia (2) z_careerBig20 (1) z_careerFinanceTech (11) z_FIX (6) z_forex (31) z_hib (2) z_ikm (7) z_inMemDB (3) z_j2ee (10) z_oq (14) z_php (1) z_py (26) z_quant (4) z_skillist (3) z_spr (5)

Thursday, April 9, 2015

T+0 settled FX is a ... derivative contract

Tony (UChicago) pointed out the underlier is a spot contract with T+2 (or T+1 for CAD) settlement. The T+0 contract is actually a fwd contract, based on the spot contract.