A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
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Foreign exchange fixings are widely used benchmark rates. However, the ways in which they are calculated differ between providers and have changed over time. Johannes Muhle-Karbe and Roel Oomen show that the primary driver of dealer and client outcomes is the fixing window width and that the weighting scheme applied to prices over the calculation window is only of secondary importance
Foreign exchange fixings are measurements of the currency exchange rate prevailing
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