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Basket Composition

The Constant value is calculated to price the basket to = 1.0000 as of 01/01/2014


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What is this Index?

The VARIANSE US Dollar Index measures the performance of the US Dollar against a basket of currencies: EUR, JPY, GBP, CAD and CHF

The Index is measure of the value of the U.S. dollar relative to the majority of its most significant trading partners. This index is similar to the USD Trade-Weighted Index, which also utilises the exchange rates from the same major currencies, however the composition and weighting is different
Our Index has been incepted with a base value of 1.0000 from 01/01/2014 which means that a value of 1.2000 would imply that the U.S. dollar experienced a 20% increase in value over the time period.

How is the FX Index Calculated?

Now for the maths...

1. First we calculate the Geometric Mean (GM) of the     Basket


    N          = Number of components
    Pair N  = Market price of Nth Pair

2. Then we multiply the value A by the constant     factor*


       *A constant factor is used to turn the basket into an
       index which sets the value of the basket to usually
       equal 1 or 100 at a pre-determined date in the past,
       this allows for easier tracking and simpler pricing.