FX and DX: valuing the US Dollar Index futures contract
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The US Dollar Index (USDX) is a proprietary index based on the Federal Reserve's Bi-Lateral Trade-Weighted Dollar Index1, base year 1973. It is composed of six underlying FX products: euro (57.6%), yen (13.6%), sterling (11.9%), Canadian dollar (9.1%), Swedish krona (4.2%) and Swiss franc(3.6%). USDX futures and options contracts trade on the Finex Division of the New York Board of Trade.
Redfield2 has demonstrated that the USDX, as a unique mathematical construct, requires special consideration
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