The spread tag has no wiki summary.
2
votes
2answers
332 views
How to compute interest rate futures spread ratio?
I am confused on how to compute the spread ratio.
For example, this is example I came across with my broker -
Consider 2 contracts Bobl and Euribor.
The DV01 of Bobl i 44.8 and Euribor is 25. To ...
0
votes
2answers
93 views
monthly contract volume required for penny increments?
Have the exchanges disclosed their criteria?
Does anyone have a best guess based upon observations of volume (however you wish to define it)?
Please no qualitative answers.
2
votes
1answer
123 views
Model-implied yield spread on corporate bonds
While using Merton (or any other) model, is the model-implied yield spread on bonds greater than actual yield spread? And is it possible to estimate actual probablities of default?
0
votes
1answer
267 views
Is making a bid/ask offer a good way to lower the spreads?
I have written an algorithmic trading program which relies heavily on low spreads in the 0.1-0.3 PIP region. I was now wondering if it would be a good idea to place bid/ask offers instead of limit ...
2
votes
1answer
165 views
Where can I find corporate bond spreads?
I am trying to price a 30 yr bond maturing in December 15, 2035. The bond is rated A- (S&P). Where can I find the spreads for corporate bonds rated A- maturing in 23 years (December 2035)? I ...
5
votes
1answer
217 views
About Option Adjusted Spread, rate curves and bonds comparison
I have few questions about using OAS as a measure of risk:
does OAS allow for comparison between bonds with and without embedded options (e.g. a callable bond against a plain vanilla one against a ...
3
votes
2answers
484 views
How to account for bid/ask spread when backtesting?
I'm backtesting an algorithm for trading nasdaq stocks, and would like to take into account the spread. I am using historical data from yahoo, which contains:
open, high, low, close, volume, adj. ...
-4
votes
1answer
370 views
How to calculate the weight of the stocks using the linear regression?
I do a simple example with the follow three series(stocks prices):
...
6
votes
1answer
237 views
How sensitive are vertical spreads to changes in implied volatility?
How sensitive are vertical spreads to changes in volatility / implied volatility in the money, at the money, and out of the money?
I'm thinking for 1 point spreads this would be very small / neutral ...
4
votes
1answer
495 views
How to hedge a bull call spread
I am trying to make a theoretical hedge to a bull call spread. (buy out the money call, sell further out the money call)
What I have now is almost effective but there is one possible 80% loss ...
1
vote
0answers
150 views
how to choose a financial spread betting provider for ease of control with customers' programs [closed]
I want to use my quantitative finance programs for real world trades on financial spreads; forex, indices, stocks etc. The features presented by many providers are for the human interaction side. ...
3
votes
1answer
89 views
How Would You Categorize A Cap or Spread On A Monthly Sum Option?
I'm just trying to determine the appropriate naming convention for a category that holds cap or spread, or in other words, what category can I put cap and spread (in this context) into? Are they ...
