FX Carry Trade with Dealer-Style Forward and Option Hedges
FX Carry Trade with Dealer-Style Forward and Option Hedges: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). The goal is to build a G10 FX carry strategy for a US-based asset manager. Treat this as a desk-style analysis problem. The important part is judgment. Use…
The task
The goal is to build a G10 FX carry strategy for a US-based asset manager. Treat this as a desk-style analysis problem. The important part is judgment. Use the input data, the market conventions encoded in the files, and standard FX logic to decide how to compute forwards, implied yields, hedge PnL, option strikes,…
Part of codeslord/skilltrainbench-public.