Correct calculation of currency indices.

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When calculating the Dollar Index and then calculating the other currencies through the Dollar Index

a problem arises: the Euro Index/Pound Index is not equal to the EURGBP quote. Anyone have any thoughts on this...

 
Are you referring to the USDX on NYBOT? Or do you use a different formula?
 
Look up the formulas by which these indices are calculated. And compare them. The maths is simple. Then it all makes sense.
 

The USDX on NYBOT, because other formulas do not take into account the weight of the currencies.

Although I have tried other formulas as well,

the problem is that it mostly converges, but there are moments

when "Euro index / Pound index is not equal to EURGBP quote" and exactly the opposite,

albeit briefly.

which may indicate that the formula is not quite correct and needs to be improved.

 

Who says EURX/GBPX has to be equal to EURGBP?

 
Urain >> :

It is the USDX on NYBOT, as the other formulas do not take into account the weight of the currencies.

Can you share the weights?

 

Here is an example EURGBP M15 2009 01.09 15:15

green graph

yellow Euro index / Pound index calculated by formula USDX on NYBOT, by Close[]

? ? ?

double IndexUSD( double GBPUSD, double EURUSD, double USDCHF, double USDJPY, double USDCAD)
{
double USDX = 50.14348112
*
MathPow(GBPUSD, -0.133)
*
MathPow(EURUSD, -0.59 )
*
MathPow(USDCHF, 0.05 )
*
MathPow(USDJPY, 0.136)
*
MathPow(USDCAD, 0.091)
;
return(USDX);
}//+----------------------------------------------------------+

 

You account for currencies using, a constant coefficient. Which was once calculated by someone once. In order for it to work what you want it to work. Currency rates should not change since you calculated the coefficients. Then everything will add up. But rates change, hence everything floats.

 

In NYBOT USDX formula USDSEK 4.2% weight is distributed to Eurozone evenly by 1.4% (as not all brokerage companies have quotes for Sweden,

and Sweden turnover with the Eurozone is over 80%, i.e. USDSEK has a direct dependence on the Eurozone)

But the problem is different: why lines often fit, and sometimes they do not?

Mathemat 05.02.2009 17:02
And who said that EURX/GBPX should be equal to EURGBP rate?

Interesting Explain...

 
Prival >> :

Give me the formulas. Then you can understand and make sense of them. And there are plenty of drawings to go around. If you want to understand why it is not counting correctly, first you need to understand the formulas. If it's correct, then look at the code.

Corrected see above...

 
Urain писал(а) >> Interesting Explain...

OK, I will repeat Prival's request to you: formulas, please. How do you calculate the euro and pound indices?

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