NDFs - need help!
Hi All,
I am urgently looking for any relevant papers/reading material for NDFs. I will be doing a rotation stint at an NDF desk, but don't really have much technical info.
I know enough about the product in general, but couldn't find any books/papers which deal with risk management, hedging client flow, pricing, portfolio management, etc.
Any help/direction will be greatly appreciated!
-Steve.
You can hedge NDFs with another NDF. You can get market quotes from brokers and see rates even through online trading platforms. To price them yourself, that's why the quants are there. They have built out the pricing models and you spread it wide/thin based on your market intuition and if you want to be competitive to your client.
http://www.microrate.com/media/docs/investment/V-Guide-to-FX-Fowards.pdf http://www.wilmott.com/messageview.cfm?catid=3&threadid=75089
Thank you!
What is an NDF curve and how can we interpret it? Is it just the future expectation of spot? in other words, would a USDBRL forward NDF rate be the market expectation of future spot (which will be against the interest rate parity theory which states that forward rates are interest rate differentials)
What are the different parameters which go into pricing an NDF? I mean, apart from the obvious spot + interest rates
Any specific risk paramters to consider?
No expert by any means, but been looking for the same stuff for a while semi-seriously.
can't think of any other params as long as pricing goes. however, how do you get those figures (Depo rates) is a whole another story.
Iusto porro praesentium dolores vel qui. Libero odio numquam cupiditate est et. Consectetur perspiciatis earum voluptatem ipsa. Est dolores perferendis dolor autem id aut est.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...