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36 views

How to backtest Value at Risk Models using Conditional and Unconditional tests?

I am trying to carry out backtesting on a number of Value at Risk figures i obtained using var/covar, historical, and monte carlo simulation. The two methods im using are the Kupiec test ...
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1answer
48 views

Step By Step method to calculating VaR using MonteCarlo Simulations

In trying to find VaR for 5 financial assets with prices over a long period of time(2000 days worth of data) how would I do the following: Carry out monte-carlo simulation in order to find a VaR ...
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1answer
23 views

Why is it cheaper to repay monthly loan at the start of the month [closed]

Assuming I borrow $50000 from the bank where the details are as follow ...
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2answers
64 views

How to automatically get all options data for a particular stock into microsoft excel?

I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ...
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0answers
29 views

Return, STD and CAPM based on Continuously compound return on daily prices

Mission: For some ETF, Get 1, 3, 5 years: Return STD CAPM parameters (alpha, beta) Reference if I calculated correctly: Yahoo finance performance & risk data Raw data: Daily adj. close ...
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1answer
51 views

Calculate yield of maturity for a certain price in excel

I have a bond with a time to maturity of 5, a nominal value of $100, coupons of \$3,- and an yield price that I need to calculate so that the bond price equals \$100,-. This yield value is symbolized ...
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1answer
65 views

Export security description data from bloomberg into excel

I have the cusip of about 300 bonds. I want to retrieve the security description from bloomberg and then export it into excel. Does anyone have any tips as to how to accomplish this?
2
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1answer
84 views

excel yearfrac 30u/360 across feb month end

Why are both of these formulas returning 1? One of them should be 3. =YEARFRAC(DATE(2015,2,27),DATE(2015,2,28),0)*360 =YEARFRAC(DATE(2015,2,28),DATE(2015,3,1),0)*360 Based on every description of ...
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1answer
28 views

Daily principal payments, accumulated on yearly basis in excel

I am doing something seemingly quite easy: Prinipal calcuation of a loan. I need to calculate daily principal payments and accumulate it on a yearly basis. So my current implementation look like ...
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2answers
2k views

Bloomberg Libor Rates

I load swap rates data from Bloomberg in excel using the command =BDH(Ticker,"Px Last",Start_Date,End_Date,"Dts",FALSE) The tickers I use are "USSW1 Curncy", ...
3
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0answers
445 views

Portfolio Optimization with Monte Carlo Simulation - How to do it with Excel?

If I have three asset classes and their historical weekly returns for five years, how can I construct a minimum variance portfolio and an efficient frontier plot with Excel? To do that do I have to ...
4
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1answer
228 views

Obtaining logical lists of Bloomberg security codes in Excel

I am using Bloomberg's BDP and BDH functions in excel to retrieve data for a set of options. The problem is that (as underlying prices move and expiration dates come and go) option strikes are ...
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0answers
89 views

Review of Excel Stock Simulator

I am currently a senior in high school and I built a stock simulator using knowledge gained from a semester of AP Statistics. I was wondering if someone could tell me if my simulation is ...
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0answers
671 views

Exporting Time Series Data For Securities Prices From Bloomberg to Excel

I have a list of securities over a thousand entries long that I want to construct a time series of prices for over a specified historical period (e.g. 2/01/10-2/20/10). Doing this manually would take ...
2
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1answer
663 views

How to fully replicate ADX + DI Indicators in Excel? [closed]

For black box testing, I was hoping that I could replicate the ADX + DI+ and DI- indicators that are provided in trading platforms such as ThinkOrSwim, ScottradeElite etc. However, I noticed that ...
3
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2answers
359 views

Resources for finding quantitative finance examples using excel, VBA and access

I am seeking to increase my knowledge in the quantitative finance field. I would be grateful if someone could point me to useful resource online, where I can find working examples of they types of ...
0
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1answer
429 views

Data feed for 10 year government bond yields [duplicate]

I am trying to access a data feed for 10 year sovereign bond yields for countries, say the G20. I have tried world bank and IMF data api sources but to no avail. The data feed is used to update an ...
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0answers
68 views

Clarifying the way in counting number of weeks for calculating historical weekly volatility in Bloomberg

I would like to confirm the way to counting number of weeks for calculating historical weekly volatility in Bloomberg. Given an option with issue date from 14/1/2014 to 13/1/2019, is the proper way to ...
3
votes
1answer
473 views

Which method is implemented by Excel's YEARFRAC for ACT/ACT?

I know the algorithm used by Excel to calculate the YEARFRAC(startDate, endDate, basis) for basis=1. Excel calls the method "act/act". A Java re-implentation of Excel's algorithm can be found at ...
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1answer
2k views

What is the best solution to use QuantLib within Excel?

Excel is likely the most widespread instrument across all not-only-quants desks; in addition, we have to keep in mind that Bloomberg and Reuters allow to easily import real time data in Excel, and ...
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1answer
1k views

IMM dates in excel

I need to get the IMM dates in excel. IMM dates are defined as the third Wednesday of every March/June/September/December.
3
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3answers
537 views

Loading HF stock data into excel

Are there any free, open source VBA addins or R packages that can be linked using the yahoo finance/Google finance/other data sources api to continuously download intraday data into excel or R? ...
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0answers
730 views

How to correctly construct a value- and equally weighted portfolio consisting of property-types?

A problem of which I couldn’t find the answer on the forum is about the construction of equally-weighted and value-weighted portfolio. I want to compute the equally-weighted property-type portfolio ...