Questions tagged [programming]
For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.
165
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How to derive the implied probability distribution from B-S volatilities?
The general problem I have is visualization of the implied distribution of returns of a currency pair.
I usually use QQplots for historical returns, so for example versus the normal distribution:
...
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17
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What programming languages are most commonly used in quantitative finance?
What programming languages are the most common in quantitative finance, and why are these languages used?
Note: I do not mean, what languages are used to develop the accounting system at a hedge fund:...
8
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1
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Understanding Yang-Zhang Volatility Estimator
I am using TTR in R and I am trying to understand the Yang Zhang volatility estimator (without drift). The following equations seem to imply a single value:
$$
\sigma = \sqrt{{\sigma_o^2}+k\sigma_c^2+...
user20664
11
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1
answer
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Obtaining risk-neutral probability from option prices
Suppose I have the following data (for the current stock and option prices of the Bank of America)
Strike Last IV Probability
4 8 5.43 0.5813566 0.0000000
7 11 2.45 0.2868052 ...
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3
votes
2
answers
470
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How to add the effect of skewness in the portfolio optimisation objective function?
I have the following risk adjusted portfolio which I optimise,
where gamma is the risk return trade off, $r$ are the returns and $C$ is the covariance matrix which considers scenarios, so it is not ...
- 326
0
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0
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462
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How to compute the Brazilian Plain vanilla swap using Quantlib?
How to compute the BRL plain vanilla swap. I have followed the below methodology to calculate the valuation for other indexes but BRL-CDI is far off from actual valuation. Please suggest if anything ...
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3
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What is an efficient method to find implied volatility?
I have a code that finds the implied volatility using the Newton-Raphson method.
I set the number of trial to 1000 but sometimes it fails to converge and doesn't find the result.
Is there a better ...
- 559
4
votes
1
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556
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Bartlett's delta gives wrong signs for calls and puts
There is a paper by Bruce Bartlett introducing a modified delta for SABR model which accounts for the correlation between forward and volatility processes. The main result of the paper is that if $dF$ ...
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1
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Historical volatility on bloomberg API
Is there a way to obtain the historical volatility of a stock from the bloomberg API? I would be looking for the data in the HVT table. Actually 3-months historical volatility from now would be enough....
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2
answers
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Excel YIELD function equivalent in python Quantlib
I am struggling to get an equivalent of Excel's YIELD function using Quantlib in python. As you can see from the Excel documentation on YIELD here, only a few parameters are needed compared to this ...
- 139
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5
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Efficient frontier doesn't look good
Hi I'm trying to draw an efficient frontier. Below is what I used.
returns parameter consists of 9 column returns of portfolio. I selected 10,000 portfolios and this is how my efficient frontier ...
- 103
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3
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Future Value: the functions in Excel, Matlab and Numpy Financial don't work when the number of periods is large
The Future Value function and its expected behaviour
Excel's function FV(rate, nper, pmt, pv) calculates the future value of an investment based on periodic, ...
63
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21
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Is there any thing out there as a substitute for KDB?
thanks a lot for your discussions on the original post.
following your suggestions, let me re-phrase a bit :
kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
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9
answers
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What tools exist for order book analysis and visualization?
What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
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3
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Tools in R for estimating time-varying copulas?
Are there libraries in R for estimating time-varying joint distributions via copulas?
Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but ...
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23
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6
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How to fit ARMA+GARCH Model In R?
I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
- 1,397
21
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3
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Is there an all Java options-pricing library (preferably open source) besides jquantlib?
I am looking for an all-java implementation of black scholes, preferably open source. I found jquantlib and quantlib (C++). Any other recommendations?
The jquantlib site seems to be down.
I'd prefer ...
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1
answer
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Forecasting using rugarch package
I want to do one step ahead in-sample forecasts. My data can be found here. This is just a data frame with the date as the rownames.
I specify my model and do the fit and show the plots with
...
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1
answer
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Does your Parkinson volatility ratio work as Taleb explained?
According to Dynamic Hedging: Managing Vanilla and Exotic Options (Taleb, 1997), the Parkison volatility estimator has several meaningful properties. It is defined
$$P=\sqrt{\frac{1}{n}\sum_{i=1}^{n}\...
- 2,131
14
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2
answers
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GARCH model and prediction
I have a question about the prediction of volatility and returns of a time series. Basically it is a question about predict in the ...
- 1,718
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4
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4k
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What .NET library can I use to solve optimization problems?
I'm working with C# and I start being bored writing optimization algorithm.
Do you know any free library containing this sort of algorithms?
In particular I'm currently working with Semidefit ...
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9
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1
answer
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How to interpret results of Johansen Test?
I have two time-series a & b. The objective is to find out whether two series are cointegrated or not. I am using Johansen Test in R to find this out.
I am using urca package of R.
Here is the ...
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1
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Issue Using QuantLib and Python to Calculate Price and Greeks for American Option With Discrete Dividends
I am having trouble using QuantLib with Python to calculate American options with discrete dividends. I am using Anaconda, Spyder, Python 3.6, and the most recent version of QuantLib. I created ...
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1
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Use QuantLib Python to calculate Swap DV01
I would want to use QuantLib Python to calculate DV01 of an interest rate swap.
Initially I was thinking of calculating the fixed leg DV01 and floating leg DV01 separately, then add both legs DV01 ...
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8
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2
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4k
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Is there a non-recursive way of calculating the exponential moving average?
I want to calculate the exponential moving average for many stocks in a large investable universe. To do this, I've seen the following formula:
Because it references the previous day's exponential ...
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8
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2
answers
3k
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Random Portfolios vs Efficient Frontier
I understand the concept of the efficient frontier and am able to calculate it in Python. But even when generating 50'000 random 10 asset portfolios, the single portfolios are not even close to the ...
- 245
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3
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How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?
I have mean reverting data (Difference of 2 stock prices, that I want to do pairs trading on). I want to simulate my own mean reverting data as similar as possible to the real data that I have.
The ...
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1
answer
4k
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SABR Model Pricing Engine in Python QuantLib
I am looking for a SABR model pricing engine in Python QuantLib setting. I do know that it exists in C++ version, but not sure if available in Python. Any suggestion/feedback with respect to Python ...
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4
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1
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451
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Finite Difference method in Matlab for SABR volatility model fails to provide correct option values
Currently, I'm trying to implement a Finite Difference (FD) method in Matlab for my thesis (Quantitative Finance). I implemented the FD method for Black-Scholes already and got correct results. ...
- 117
4
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2
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1k
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Valuing structured loans in QuantLib
I'm trying to figure out if it's possible to value structured products, mainly loans, in quantlib. The idea is to build a bond class with different cash flows. For example, a loan could have coupons ...
- 195
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2
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2k
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Detect pattern from OHLC data in Python
I'm trying to create a script that, from standard OHLC data, finds patterns. The specific pattern i'm looking for right now is sideways movement after a move up, here is an example:
So basically my ...
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1
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How to permanently add holidays to QuantLib calendars?
I am aware of QuantLib's functions addHoliday() and removeHoliday(), but I am wondering if there is a better way to edit the ...
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3
votes
4
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Python libraries for bloomberg?
I am very new with python, and I am used to work with bloomberg formulas for excel. I am starting to use a lot more python in my analysis, is there any library that performs same functions as bdp, bdh ...
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1
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Is this the correct way to forecast stock price volatility using GARCH
I am attempting to make a forecast of a stock's volatility some time into the future (say 90 days). It seems that GARCH is a traditionally used model for this.
I have implemented this below using ...
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2
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QuantLib python ql.schedule getting end of month dates
i'm trying to get payment schedule of a bond that pays coupon quarterly. value date is 2020-04-01, first coupon date is 2020-06-30, maturity date is 2022-09-30. so I expect to have a list of dates:
...
- 11
1
vote
1
answer
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QuantLib Python price same swap on different evaluation dates
I want to use QuantLib Python to price a swap at 2 different evaluation dates during the life time of the swap. The following is what I've tried so far:
...
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3
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C++ textbook recommendation for quants
I work as a Quant Dev at a financial institution where I'm mostly using Python for development and thus I have a few years of Python programming experience. I'm planning on learning C++ and therefore ...
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0
answers
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Quantlib : Valuation of inflation swaps of EUR-RPI using quantlib python?
Below is the sample code to compute the inflation swaps. I have referred the Quantlib cookbook to get the flavor of Inflation swaps. But I feel that the term structure and final NPV is not accurate ...
- 105
1
vote
1
answer
1k
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negative gamma value for gjr-garch output
I was wondering if anyone could tell me if my model is completely incorrect as I haven't been able to find anything online for this. I am running a Gjr Garch model to measure volatility in gold ...
- 11
1
vote
1
answer
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Find the right module for CDI DI BRL swaps valuation Quantlib
I'm trying to find a way to price BRL CDI Swaps with Quantlib but I can't find any solutions so far - so I was wondering if anyone encountered this issue:
I don't see any solution on Quantlib. I ...
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8
answers
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Is R being replaced by Python at quant desks?
I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
- 14.4k
60
votes
13
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Switching from C++ to R - limitations/applications
I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...
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Why is C++ still a very popular language in quantitative finance? [closed]
I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are ...
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14
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Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?
Update: Since Quantopian closed, there are some Zipline forks like:
https://pypi....
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votes
5
answers
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What is a good broker for HFT?
Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
- 2,697
31
votes
2
answers
29k
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Correctly applying GARCH in Python
Problem: Correct usage of GARCH(1,1)
Aim of research: Forecasting volatility/variance.
Tools used: Python
Instrument: SPX (specifically adjusted close prices)
Reference material: On Estimation of ...
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votes
9
answers
6k
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How good is managed code for algo trading?
I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ...
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28
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13
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What is the reference python library for portfolio optimization?
Does anyone know of a python library/source that is able to calculate the traditional mean-variance portfolio? To press my luck, any resources where the library/source also contains functions such as ...
- 381
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5
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Implementing data-structures in a Limit order book
I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance.
Using F# as an example, I need to consider a List versus Array for ...
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7
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Is the Interactive Brokers API suitable for hft?
By HFT here I mean anything with holding period less than 5 to 10 minutes.
Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
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