If running a short-dated foreign exchange forward book is a science, then running a profitable long-dated book is an art.
In recent years, many former spot and quant FX traders have sought to replicate their FX spot market use of so-called mark-out tools – which measure things such as market impact – to the forwards desk, to help them more easily work out how profitable individual clients’ flow can be further out.
But beyond the short end of the FX forwards and swaps curve – where the majority of
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