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Inside the Currency Market: Mechanics, Valuation, and Strategies
book

Inside the Currency Market: Mechanics, Valuation, and Strategies

by Brian Twomey
November 2011
Beginner
335 pages
9h 33m
English
Bloomberg Press
Content preview from Inside the Currency Market: Mechanics, Valuation, and Strategies

Track Australian Dollar/U.S. Dollar

A comparative indicator is a “first of its type” bond-spread futures contract. The ASX offers a 10-year Australia Bond against a 10-year U.S. Treasury On-the-Run Note. The contract price is determined as “the difference between forward rates of each asset” (ASX).

The spread is the “quoted price of the ASX 10-year bond futures contract yield minus the forward yield for the On-the-Run Treasury” (ASX). A widening of spreads denotes Australia bond yields are up and Treasury yields are down, while a narrowing of spreads denotes Australia yields decreasing as Treasury yields increase. The price of the contract is denominated in Australian dollars. “The price of the contract began as 1000 Aussie dollars plus the yield ...

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Publisher Resources

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