Currency conversion

If you’re working with series expressed in a variety of currencies it can be helpful to convert all the series to a single currency. In Macrobond there is an automatic currency conversion feature you can apply to your entire document. Because of the metadata associated with series expressed as a currency you don’t have to worry about the calculations being performed on any non-currency series. This article focuses on the process behind this functionality.

How are exchange rates determined?

Before taking you through some examples of performing a currency conversion, it’s worthwhile familiarizing yourself with the underlying functionality. This will give you a better understanding of the calculated values you work with. Below we’ll look at which parameters are considered, and the method of conversion, depending on the available data for the action.

Relevant parameters

  • The frequency and properties of the input series
  • The currency the series is expressed in
  • The method selected. The default method is 'Automatic' as described below

Options for conversion

  • The currency conversion takes place before the frequency conversion of the series in the document.
  • The application will search for a direct exchange series to calculate the conversion among the exchange rate series defined by Macrobond.
  • The application will find an exchange rate series that requires the fewest possible steps to calculate the conversion. Currently all exchange rate series used in Macrobond are specified with USD as the base rate, so in practice most of the exchanges are done via USD.

Daily exchange rate series are used, but they are sometimes extended with data of a lower frequency if needed to get longer history.

Options for currency conversion

When your series have a lower-than-daily frequency, there are several options for how to do the currency conversion. These options can be found in the Conversion tab in the Series list.

The default setting is 'Automatic'. This means that the method will be decided according to the properties of the series. The base method will be 'Last' for daily series and 'Last 5d median' for other frequencies, but we also look at some additional properties: for Flow series and series that we know are sampled in the middle of the period or are averages of the period, we use the 'Average' exchange rate; if we know that the series is sampled at the start of the period, we use 'First 5d median'.

By selecting 'None', you tell the application not to perform any conversion.

Documents created before Macrobond version 1.22

Documents created before Macrobond version 1.22 will use the method called 'Legacy'.

This method tries to match the exchange rate series with the frequency of the series to convert. If a corresponding frequency is not found, the closest higher frequency will be used and the first observation of the period.
Please click here for more information.

Applying a currency conversion to a single series

Using the currency conversion feature in the Series list will convert the series before the expressions are evaluated. If you use the same series in several expression, the same conversion will be applied in all places. However, if you only want to convert a specific instance of a series in your document, you can use the formula language and a suitable exchange rate series. You’ll find more information and tutorials on using the formula language in the Formulas in Macrobond section.

See which series was used

If you want to know exactly which series was used to perform the conversion, you can navigate to the forecast tab in Series list. As you can see in the picture below, the FX series used for currency conversion are listed in addition to those added to the series list.

If your series contain forecasts, you can also add forecasts to the series used for the currency conversion. Learn how to add forecasts in the Formulas in Macrobond section.