FX / Comm Jeopardy

FX Functionality

100

I want to find the price of a USDCHF CURNCY forward with a pricing date of 9/24/12 and a maturity/expiration of 10/4/12. I took a look on FRD but I only see 1W and 2W forwards. How do get this 8 day forward?

Use the broken date calculator in FRD. The even date forwards are contributed to us so the broken date calculator will interpolate rates for all dates that fall between the even dates.

200

I'm looking at EURUSD CURNCY on FRD. I though the bid points plus spot were supposed to add up to the forward outright. I'm looking at a 1W forward and I see that spot is 1.2900, the bid points are .70 and the forward outright is 1.290070. Shouldn't the forward outright be 1.9900 (1.2900 + .70)??

No, it is shown correctly on FRD. The points will default to show in pips, so here the forward bid is .70 pips - the true decimal here is .000070.

300

What model does Bloomerg use to calculate the implied volatilities on OVDV ?

These are not calculated by us - they are contributed by various sources. You can choose the source from the pricing source dropdown on the top left of OVDV.

400

I need to mark-to-market my FX portfolio. What is the best way to do this?

Create the deals in OVML and book to a portfolio in OVRA or upload directly to OVRA.

500

I am taking a look at EURUSD VOLC and I want to compare the historical implied volatilities versus the historical realized volatilities to analyze richness vs. cheapness. I need to make sure that the implied vol lines and the realized vol lines are showing me data for the same dates. How do I do this?

We can do this by lagging the realized vol data for the tenor of the implied vol we are using. For example, if you are looking at historical 3M implied vol vs. 3M realized vol, we can lag the realized vol by 3M so that the dates match up.

Commodities functionality

100

Where can I find spot price for crude and product?

BOIL

200

<<<<>>>>> What is an example of a Liquified petroleum gas and where can I find pricing? Can I get the per barrel price of LPGs?

Ethane, Ethylene, Propane, Butane, Naptha LPG, LIQP We do not have prices for a barrel of LPGs. As a workaround we can create a CIX using the prices found on our LPG price pages.

300

What function allows you to see emissions data at the plant level? A) PGEO B) FA C) RELS D) EMIS

C) RELS

400

I'm trying to pull a price for a generic 3 year NYMEX Nat Gas strip. I took a look on NRGS but there are only tickerized strips for up to 2 years. What should I do?

Strips are calculated as the simple average of the futures contracts over the designated time period. Here we can create a custom index on CIX to add the generic contracts for 36 months and divide by 36. The syntax would be NG1 COMDTY + NG2 COMDTY + ... + NG36 COMDTY / 36. *Note that we can only add 50 securities to a CIXN

500

I want look at the historical spread between XBOCT1 COMDTY and COOCT1 COMDTY but the issue I'm running into is that (as per the DES page) these contracts roll on different days. Is there a way I can get around this?

SEAG offers a "smart roll" option where the spread ticker will automatically roll based on the roll date of the first commodity. Note that this will only be the case when the two commodities are priced in the same units. You can click into 96) Edit > Securities to turn the smart roll off.

FX competence

100

The current EURCHF CURNCY spot rate is 2.0000. What is the base currency. If I had 1,000,000 CHF, how many EUR is that equal to according to this rate?

EUR is the base. It would be equal to 500,000 EUR. That is, it takes 2 CHF to buy 1 EUR. Remember there is always two sides to a trade!

200

I want to pull up a price graph of the Reuter's/ WM closes on a GP graph for USDJPY CURNCY. Where do I find these rates?

You can pull up all pricing sources on ALLQ. You will see WMCO as a pricing source there - these are the Reuter's closes. You can specify the pricing source in the ticker to pull up a GP chart. i.e., USDJPY WMCO GP .

300

I am customer and I want to sell USD to buy JPY. I call three different banks and get the following quotes (bid/ask). What is the best rate for me? A) USD/JPY 78.0/79.6 B) USD/JPY 78.3/79.8 C) USD/JPY 78.4/79.9

C) USD/JPY 78.4/79.9 Remember the "B's" - the bank buys the base at the bid.

400

When looking at FRD, you see the forward points are all negative. What does this mean in terms of the interest rates in the country of the base currency vs the interest rates in the country of quoted currency? Is the base currency trading at a premium or a discount to the quoted currency?

The interest rates in the base currency country are higher than those of the quoted currency. The base currency is trading at a premium to the quoted.

500

How would I create a synthetic forward using options?

Buy a call and sell a put at the same strike.

Commodities competence

100

I'm looking at historical prices in HP for C 1 COMDTY and C A COMDTY. What contracts does C 1 COMDTY use? How does GFUT affect these?

CL1 COMDTY is the generic ticker, CLA COMDTY is the active ticker. GFUT only affects the generic ticker. We can use it to determine when the contracts roll.

200

Why would the power price of HOUR 2 be lower than the HOUR 14 price, normally? A) Nat gas prices are cheaper for Hour 2 B) Hour 2 has less demand C) Hour 14 has less demand D) Hour 14 is more expensive bc of the price of nat gas

C) Hour 14 has less demand

300

How can a corn farmer protect against a fall in the price of corn, but still profit from any rise in corn price? A) Buy a corn future B) Buy a corn put C) Sell a corn future D) Buy a corn call

B) Buy a corn put

400

A crude oil trader enters a trade of buying a $100 call and selling a $115 call. What type of spread trade has the trader executed? A) Crack spread B) Bear call spread C) Bull call spread

B) Bear call spread

500

What option strategy would I use if I believe volatility will increase? A) Out-of-the-money put B) Out-of-the-money call C) Risk Reversal D) Straddle

D) Straddle

EXCEL

100

I am looking to do historical pricing analysis in Excel for CLA COMDTY but I only want to pull the electronic session close prices. How do I get these prices?

We can specify electronic, pit, or combined session in the security ID, using the ELEC, PIT or COMB, respectively. Here for example =BDH("CLA ELEC COMDTY","PX LAST","start date","end date")

200

How do I pull in the EURUSD BGN CURNCY bid at 3PM EST each day from 09/01/2012 to 09/18/2012?

Use the "recurdaily=true" argument in an intraday formula. For example =BDH("EURUSD BGN CURNCY","OPEN","09/01/2012 15:00:00","09/18/2012 15:10:10","bartp=b","barsz=10","recurdaily=true"). **Note that some client's Excels still won't respect the recurdaily=true argument. If this is the case the client will get 10 minute bars for the date range rather than a single rate each day. In this case we can enter a DRQS to have our programmers update their Excel to respect this argument.

300

I am trying to use the following formula to pull in the realized historical 3M volatility that I see on VOLC but I am getting #N/A N/A. Why? =BDH("EURUSD BGN CURNCY","VOLATILITY_90D","01/01/2012","")

The realized vol for currencies is tickerized. Here we would use =BDH("EURUSDH3M BGN CURNCY","PX LAST","01/01/2012","")

400

I am doing price analysis in Excel for crude oil historically. I am using a generic ticker (i.e., CL1 COMDTY) and I want the contract to roll relative to first notice. Is it possible to do this without changing my settings in GFUT?

Yes, use the GFUT tickers in Excel. See BWIKI for the sheet

500

<<<<<<<>>>>>>>> I am trying to use the following formula in Excel but I am getting #N/A Invalid field: =BDP("CLX2C 93 COMDTY","FXOPT_PREMIUM") Why is this? I created a custom deal in OVML and I'm using FXOPT_PREMIUM but it does not match the premium on OVML. Tell me why!?

The FXOPT_ fields are only available to use with custom trades created in OVML. **In order to match the premium on OVML we must override for the same trade date and time.