Does anyone know of either a canned software or an indicator that can
accomplish the following:
I want to calculate the proper mix for a carry trade for 2 pairs that are inversely correlated i.e., long usd/gbp short eur/usd such that the i receive the carry differential in interest. But I have to know how many lots of each to initiate e.g., 20 lots long usd/gbp vs 18 lots short eur/usd, so that my
"delta" is neutral. I experience no fluctuation in the position, collect the interest and relatively "perfectly" hedged, for the moment. At the same time, if the correlation changes the software has to adjust the hedge accordingly.
Anyone of software that can hedge, and collect the carry?
Liz
accomplish the following:
I want to calculate the proper mix for a carry trade for 2 pairs that are inversely correlated i.e., long usd/gbp short eur/usd such that the i receive the carry differential in interest. But I have to know how many lots of each to initiate e.g., 20 lots long usd/gbp vs 18 lots short eur/usd, so that my
"delta" is neutral. I experience no fluctuation in the position, collect the interest and relatively "perfectly" hedged, for the moment. At the same time, if the correlation changes the software has to adjust the hedge accordingly.
Anyone of software that can hedge, and collect the carry?
Liz