Calculating the Dollar Index by hand

Discussion in 'Forex Trading' started by Dart, Aug 9, 2006.

  1. Dart

    Dart

    I'm trying to figure out how to calculate the NYBOT Dollar Index based on the individual currency quotes.

    The individual currency weightings are: EUR 57.6%, JPY 13.6%, GBP 11.9%, CAD 9.1%, SEK 4.2%, CHF 3.6%.

    Their individual symbols and last quote (taken from the NYBOT web site) are:

    EO 12897
    YY 11464
    YP 19063
    YD 11190
    KU 71065
    YF 12209

    The last quote of the DX is 8450 as stated on the NYBOT web site.

    How do I divide the six individual currency quotes, and come up with the exact number 8450?
     
  2. Dart

    Dart

    I found a calculator that does it right:

    http://www.page88.co.za/cr/dx.shtml

    Using the values:

    1.2897
    114.94
    1.9063
    1.119
    7.1065
    1.2209

    which gives a value of 84.49 which is near 84.50 which is the value displayed on NYBOT for the DX.

    Looking at the code for this script, which is in Javascript, I still can't figure out how it's calculated:

    http://www.trendwaysfin.com/historic/dx.js
     
  3. sim03

    sim03

    Everything you ever wanted to know about USDX and more:

    www.nybot.com/productpages/USDX/pdf/usdx.pdf

    NOTE: the formula on p. 4 is completely bungled, to the point of being useless - missing the "Product" symbol, from i=1 to 6, as well as missing... just about everything else. :eek: Also see:

    www.nybot.com/education/brochuresPublications/files/currency.pdf

    Here's the correct formula, using your numbers:

    (1 / 1.2897) ^ .576 x
    114.94 ^ .136 x
    (1 / 1.9063) ^ .119 x
    1.119 ^ .091 x
    7.1065 ^ .042 x
    1.2209 ^ .036 =
    = .8637 x 1.9064 x .9261 x 1.0103 x 1.0858 x 1.0072 =
    = 1.6849.

    1.6849 x 50.14348112 = 84.49.

    You are taking the trade-weighted, geometric average of the 6 currencies in the basket, times a constant such that USDX (March 1973) = 100. First, euro and pound need to be converted from direct to indirect quote, for consistency.

    Have fun...
     
  4. Dart

    Dart

    Wow, that's exactly what I needed! Thanks.

    I'm using this to create my own DX quote with Excel DDE and the IB (InteractiveBrokers) forex feeds. Free Dollar index with IB. :)
     
  5. Dart

    Dart