Calculating the Dollar Index by hand

D

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?
 
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...
 
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. :)
 
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