Foreign exchange trading and management with the stochastic dual dynamic programming method

Reus, Lorenzo; Sepúlveda-Hurtado, Guillermo Alexander

doi:10.1186/s40854-022-00433-7

Financial Innovation

Table 6 Weighted-average selling price of CTP solutions (RN and RA) versus benchmark policies B1, B2 and NH

From: Foreign exchange trading and management with the stochastic dual dynamic programming method

Currency	Policy	Mean	Median	\(P_{1\% }\)	\(AP_{1\% }\)
USDCLP \(S_{0} = 800.0\)	RN₁	802.1 (0.3)	801.3	777.8	775.3 (− 3.1)
	RA_0.75	801.4 (0.2)	800.2	776.4	774.1 (− 3.2)
	B1	818.5 (2.3)	809.5	800.0	800.0 (0.0)
	B2	800.1 (0.0)	800.0	774.0	771.1 (− 3.6)
	NH	800.4(0.0)	800.0	747.2	743.4 (− 7.1)
USDBRL \(S_{0} = 5.5\)	RN₁	5.5250 (0.5)	5.5085	5.2644	5.242 (− 4.7)
	RA_0.75	5.5000 (0.4)	5.5000	5.3000	5.2000 (− 4.8)
	B1	5.6889 (3.4)	5.5648	5.5000	5.5000 (0.0)
	B2	5.5014 (0.0)	5.5003	5.2240	5.1987 (− 5.5)
	NH	5.5067 (0.1)	5.5001	4.9322	4.9003 (− 10.9)
USDTRY \(S_{0} = 10.0\)	RN₁	10.0560 (0.6)	10.0073	9.4751	9.4368 (− 5.6)
	RA_0.75	10.0000 (0.4)	10.0000	9.5000	9.4000 (− 5.7)
	B1	10.3918 (3.9)	10.0577	10.0000	10.0000 (0.0)
	B2	10.0042 (0.0)	10.0000	9.3934	9.3464 (− 6.5)
	NH	10.0190 (0.2)	9.9999	8.7526	8.6890 (− 13.1)
AUDUSD \(S_{0} = 0.7\)	RN₁	0.7020 (0.3)	0.7021	0.6762	0.6724 (− 3.9)
	RA_0.75	0.7000 (0.2)	0.7000	0.7000	0.7000 (− 3.8)
	B1	0.7179 (2.6)	0.7147	0.7000	0.7000 (0.0)
	B2	0.7001 (0.0)	0.7001	0.6761	0.6727 (− 3.9)
	NH	0.7003 (0.0)	0.7002	0.6555	0.6505 (− 7.1)
GBPUSD \(S_{0} = 1.0\)	RN₁	1.0018 (0.2)	1.0018	0.9682	0.9634 (− 3.7)
	RA_0.75	1.0000 (0.1)	1.0000	1.0000	1.0000 (− 3.6)
	B1	1.0242 (2.4)	1.0211	1.0000	1.0000 (0.0)
	B2	1.0000 (0.0)	1.0001	0.9673	0.9643 (− 3.6)
	NH	1.0003 (0.0)	1.0001	0.9439	0.9392 (− 6.1)
EURUSD \(S_{0} = 1.5\)	RN₁	1.5044 (0.3)	1.5027	1.4611	1.4574 (− 2.8)
	RA_0.75	1.5000 (0.2)	1.5000	1.5000	1.5000 (− 2.9)
	B1	1.5324 (2.2)	1.5189	1.5000	1.5000 (0.0)
	B2	1.5001 (0.0)	1.5000	1.4554	1.4507 (− 3.3)
	NH	1.5005 (0.0)	1.5002	1.4115	1.4053 (− 6.3)
USDJPY \(S_{0} = 105.0\)	RN₁	105.3 (0.3)	105.2	101.9	101.7 (− 3.1)
	RA_0.75	105.2 (0.2)	105.1	101.9	101.7 (− 3.1)
	B1	107.6 (2.5)	106.6	105.0	105.0 (0.0)
	B2	105.0 (0.0)	105.0	101.5	101.4 (− 3.5)
	NH	105.0 (0.0)	105.0	98.4	98.2 (− 6.5)

\(P_{1\% }\) is the first percentile of that measure and \(AP_{1\% }\) is the average below that first percentile. The numbers in parenthesis are the rates of increase (reduction) (%) relative to \(S_{0}\). We set \(\pi_{u} = \pi_{d} = 2.5\%\) and D = L = 1

Back to article page