VARIANSE EURO Index
The Constant value is calculated to price the basket to = 1.0000 as of 01/01/2014
What is this Index?
The VARIANSE EURO Index measures the performance of the Euro against a basket of currencies: USD, GBP, JPY and CHF
The Index is measure of the value of the Euro relative to the majority of its most significant trading partners.
This index is similar to the EUR 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 Euro 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.