Contents Foreword Preface Acknowledgments Chapter 1: Foreign Exchange Reports Bank of International Settlements Triennial Survey Conclusion Chapter 2: Currency Trading Beyond the Basics Pips and Lots Bid/Ask—The Difference Is in the Spread! Punishing the United States with Margins Mrs. Wantanabe and the Margin Japan Margin: Europe, Switzerland, England, Australia, Hong Kong, and Canada Rollovers Rollover Rates and LIBOR Swap Points and Rollover Currency Fixing Factor Swap Points Day-Count Convention Triple Rollover Trade Strategy Swap Points versus Rollovers for World Wide Traders National Futures Association and Currencies Orders: Europe, Australia, New Zealand, Hong Kong, Japan, Switzerland, Canada, and England Brokers: Yesterday and Today Exchange Rates: The Impact of Keynes and Mundell-Fleming U.S. Current and Capital Account Purchasing Power Parity OECD-Eurostat PPP Program Conclusion Chapter 3: Exchange Rates and Trade Weight Indices Trade-Weight Methodology IMF Price Indexes and History Sweden Canada Switzerland Euro United States USDX U.S. Major and Broad Index CME Dollar International Monetary Fund: Role and Function in Trade Exchange Rate Pass Through and the U.S. Dollar Indicative versus Reference Rates Factor Exchange Rates Trade Weight Indices and Spot Trades Conclusion Chapter 4: Short-Term Interest Rates and Money Market Instruments Repurchase Agreements Repo-Market Definition Repo Rates and Repo Interest Types of Repo Transactions and Spot-Currency Trades U.S. Repo Market Bilateral Repo Trade Tri-Party Repo Infrastructure Reform and White Paper by New York Federal Reserve Bank Treasury Market Practices Group and U.S. Fails Charges Japanese Repo Market Spot Currency and Japanese Repo Rates New Zealand European Repo Council Implications of Survey and Spot Currency Switzerland Swiss Repo and Spot Currency Eurex Zurich Clearing Great Britain Canada Europe Australia Repo Rates and Spot Currencies Eurepo Charts Intercapital Dollar Repos or Swap Lines Chiang Mai Initiative Multilateralization Conclusion Chapter 5: LIBOR SONIA and EURONIA Indices SONIA, LIBOR, and British Pound Sterling/U.S. Dollar Seasonality and British Pound Sterling/U.S. Dollar BBA and LIBOR Seasonal Spot Currencies and LIBOR Maintenance Periods EURIBOR EONIA Track EURIBOR and EONIA Rates Euro, EURIBOR, and EONIA Australia and New Zealand Australian Dollar/New Zealand Dollar and Bank Bills Australian Securities Exchange Seasonality and Australian Dollar/U.S. Dollar, New Zealand Dollar/U.S. Dollar U.S. Dollar Pairs and LIBOR TIBOR and EUROYEN Repatriation and the Yen EUROYEN Euronext and EUROYEN Euro/Japanese Yen as a Risk Indicator Seasonality and U.S. Dollar/Japanese Yen Canada Seasonality and U.S. Dollar/Canadian Dollar Switzerland Seasonality and U.S. Dollar/Swiss Franc Target Rates Defined Conclusion Chapter 6: Government Bonds, Yields, Yield Curves, and Currency Prices Yield Curves Currency Trading and Yield Curves Central Banks and Yield Curves Bonds and Yields Euro/U.S. Dollar and U.S. Treasury Bond Yields British Pound/U.S. Dollar and Bond Yields U.S. Dollar/Swiss Franc, U.S. Dollar/Canadian Dollar, U.S. Dollar/Japanese Yen and Bond Yields Carry Trades and Bond Yields U.S. Treasury Yield Curves and 2-and 10-Year Notes U.S. Dollar/Swiss Franc, U.S. Dollar/Japanese Yen, and U.S. Dollar/Canadian Dollar Canada Yield Curve and Bond Issuance Calculate Canada Bonds and Yields Yield Curve and U.S. Dollar/Canadian Dollar Australian Dollar/U.S. Dollar and New Zealand Dollar/U.S. Dollar British Pound Yield Curve Gilt Issuance British Pound/U.S. Dollar Japanese Yield Curves Japanese Yield Curve and U.S. Dollar/Japanese Yen U.S. Dollar/Japanese Yen, Bonds, and Yields Australia Yield Curve Factor Australia Yield Curve Australian Dollar/U.S. Dollar and Australia Yield Curves Track Australian Dollar/U.S. Dollar New Zealand Inflation-Indexed Bonds Factored as a Settlement Price per New Zealand Dollar as Principal New Zealand Dollar/U.S. Dollar and New Zealand Yield Curves Track New Zealand Dollar/U.S. Dollar Australian Dollar/New Zealand Dollar and Yield Curves Euro Yield Curve Track the Euro Yield Curve Euro/British Pound and Yield Curve Swiss Franc Yield Curve Swiss Yield Curve U.S. Dollar/Swiss Franc U.S. Yield Curve Dollar Pairs and Yield Curves Reserve Requirements and Bonds Cross Pairs, Bonds, and Yields Trade Strategies Yield Curves and Currency Prices Dollar Value of Basis Point and Modified Duration Conclusion Chapter 7: Swaps and Forwards EONIA Swap Index Australia Bank Bills New Zealand Swap Rate Trade Swaps against New Zealand Dollar/U.S. Dollar Japan Trade Web, LCH Clearnet, and ICAP United Kingdom and British Pounds Canada Swiss Swaps United States Outright Forwards Calculate Forward Points, Yield Curves, and Spot Prices Conclusion Chapter 8: Stock and Bond Markets Fair Value Bonds Reserve versus Funding Currency Pairs Globex and the Currency Bond/Yield Interplay New Zealand Trade Strategy Australia ASX Trade Strategy FTSE and British Pound Trade Strategy Euro/British Pound Japanese Yen U.S. Dollar British Pound/Canadian Dollar British Pound/Swiss Franc British Pound Japanese Nikkei 225 and TOPIX Indices Trade Strategy Deutsche Boerse DAX, STOXX, Bunds, and the Euro German Bunds Euro Trade Strategy Euro/Canadian Dollar Euro/Swiss Franc SIX Swiss Exchange SIX Swiss Exchange Trading Services Trade Strategy Toronto Stock Exchange Trade Strategy New York Stock Exchange Transportation Index, New Zealand Dollar/U.S. Dollar and Australian Dollar/U.S. Dollar U.S. Dollar/Swiss Franc and Dow Jones Utility Average Interest Rates Conclusion Chapter 9: Currency Cycles, Currency Futures, Options, and Volatility CME Group Equivalents E-Micro Options and Volatility Volatility and Volatility Indicators Option Premiums Barrier Options Volatility and Value-at-Risk Models Conclusion Chapter 10: Technical Analysis Volume and Open Interest COT Reports Bollinger Bands Simple Moving Averages Ichimoku Kinko Hyo Baltic Dry Index IMF and Special Drawing Rights Pivot Points Currency Correlations and Trend Lines Conclusion Bibliography About the Author Index