Forex P&l Attribution on Physical Forward position

External question — Quantitative Finance Stack Exchange Author: user1131338 Original post: https://quant.stackexchange.com/questions/15823 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below formula to get attribution . (Market Price - Commodity Price )*(Today FX Rate- Yesterday FX Rate) The above formula is used for daily fx loss and gain on the forward position . But above failed when the market price = commodity price .

External answer — Quantitative Finance Stack Exchange Author: chjortlund Original post: https://quant.stackexchange.com/a/15824 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. You might over think it :-) Your account is in USD You buy for 300 EUR wheat and the price now is 320 EUR the EURUSD is 1.24688 (2. december 2014) at the time you buy the EURUSD is 1.24347 (now - 11. december 2014) 320 * 1.24347 - 300 * 1.24688 = 23.8464 USD profit

External answer — Quantitative Finance Stack Exchange Author: Nicholas Original post: https://quant.stackexchange.com/a/22607 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Hope this illustration helps to understand fx effect: Examples: if px_0 = 100; px_1 = 100; fx_0=1.3; fx_1=1.4 then your total p&l would be only due to Fx: TotalP&L = Px_0 * (Fx_1 - Fx_0) = 100 * (1.4-1.3) = 10 if px_0 = 100; px_1 = 110; fx_0=1.3; fx_1=1.3 then your total p&l would be only due to Px: TotalP&L = (Px_1-Px_0) * Fx_0 = (110 - 100) * 1.3 = 13 if px_0 = 100; px_1 = 110; fx_0=1.3; fx_1=1.4 then your total p&l would be both due to Px, Fx and cross-effect: TotalP&L = (Px_1-Px_0) * Fx_0 + P_0 * (Fx_1-Fx_0) + (Px_1-Px_0)*(Fx_1-Fx_0)= (110 - 100) * 1.3 + 100 * (1.4-1.3) + (110-100)*(1.4-1.3)= 13 + 10 + 1 = 26