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1
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1answer
55 views

Inferring signals in absence of sign of principal components (PCA)?

PCA seems to be very popular in dimension reduction applications and for extracting the top PCs which explain the data. One such application in futures is on the term structure to obtain the level, ...
7
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1answer
381 views

Are there any other standard rates term structure decomposition than PCA?

PCA is sometimes used to estimate components in the rates term structure. Are there any other standard method discussed in the literature or used in practice, what are their advantages and ...
2
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1answer
539 views

How to price a bond at specified dates in QuantLib

I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. ...
4
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1answer
608 views

On short-rate-models: Black-Karasinski (with constant parameters) compared to Vasicek

When modelling the term structure of interest rates, one widespread possibility is using the Black-Karasinski model, which is given by the following stochastic process ...
3
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1answer
207 views

how to define liquidity in equity, index, and etf options

i've heard several ways to put a metric on liquidity of options.. obviously liquidity isn't a constant.. things like the Bid/Asks spread, liquidity of the underlying.. Trying to find a way to ...