# All Questions

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### Pricing foreign currency bonds - which approach is more theoretically “sound”?

You own a fixed rate corporate bond in foreign currency (let's say JPY). Your domestic currency is USD. Which of the these two approaches do you consider theoretically better? Discount JPY cash ...
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### About the definition of a complete market

In Steven Shreve's book "Stochastic Calculus for Finance 2", Definition 5.4.8 says a market is complete if every derivative security can be hedged. What exactly does every derivative security mean? ...
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### LMM & multiple curves

I was reading through a paper that attempted to present a theoretical explanation for the divergence in value of different LIBOR tenors (and thus for the use of different curves for different tenors). ...
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### Adjusting VaR calculating for Correlation effects?

I have a question regarding VaR calculation for a portfolio using a historical approach and the corresponding correlation assumptions. When using a historical approach, we essentially offset ...
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### Swaptions to calculate swap exposure for CVA

I am looking at using the swaption method to calculate the EPE and ENE on a swap over its life, to use in CVA/DVA calculations. I have a number of questions, how well does this method work in ...
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### Overestimating or underestimating risk?

This question might be silly, but I want to be sure of myself. If one has Value-at-Risk forecasts and there are zero VaR breaches (i.e. no return value is smaller than or equal to the VaR value) then ...
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### Dual discounted forward curve

I was wondering how to calculate the forward rates based on OIS discounting for the half year terms. I know how to do this for the full year terms -> just making sure that the two legs are equal to ...
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### Asset allocation problem using Hidden Markov Model

I am recently getting more interested in Hidden Markov Models (HMM) and its application on financial assets to understand their behavior. But what captured my attention the most is the use of asset ...
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### How to calculate this swap rate

What is the 2x5 swap rate? here 2x5 swap rate refers to the 3-year swap, 2 years forward.
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### Exercise: interpretation of terms in black-scholes

I have following exercise: This is what I did: \begin{align} C(K)&= e^{-r\tau} \mathbb{E}^\mathbb{Q}[((S_T - K)^+] \\ &= e^{-r\tau}\mathbb{E}^\mathbb{Q}[((S_T - K)\mathbb{1}_{S_T>K}] \\...
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I would like to extend my question about about FX Forward rates in stochastic interest rate setup: FX forward with stochastic interest rates pricing We consider a FX process $X_t = X_0 \exp( \int_0^t(... 0answers 10 views ### Where can I find API access to historical options data? Paid or free? I'm looking for a company or website that provides API access to historical options data. I would prefer a provider that has a python module to access the API. Any leads would be appreciated. 1answer 83 views ### One Way CSA Agreements This is probably an older topic but I don't seem to find any related threads on this forum. What is the best way to value, let's say, a vanilla IR swap (you receive fixed) that you trade against a ... 6answers 8k views ### How are HFT systems implemented on FPGA nowadays? I have read about different implementations of HFT systems on FPGAs. Argon HFT system (http://trading-gurus.com/argon-design-an-fpga-based-hft-platform/) Hardware-only implementations or hybrid ... 2answers 417 views ### What are some quantitative trading strategies used by high-frequency trading companies to make a killing on a market crash day on 24Aug2015? http://blogs.barrons.com/focusonfunds/2015/08/24/high-frequency-trading-firms-just-made-a-killing/ Virtu Financial (VIRT), the high-speed trading firm that went public earlier this year, was one ... 1answer 109 views ### How are Quandl monthly S&P500 earnings estimates derived? Can someone explain how the monthly earnings estimates are derived for S&P500? Quandl sources multpl.com, who state: ... 1answer 77 views ### What are some options to execute ML algos against with live data using C#, F# or Python for a retail trader? I'm a retail algorithmic trader. I've written some algorithms that parse intraday movements and make decisions. I still execute trades manually but eventually I need the ability to execute trades on ... 3answers 107 views ### CSA discounting vs OIS discounting In the fixed income literature, is the CSA discounting the same as OIS discounting? Seems they're referring to the same thing, but couldn't find an explicit statement confirming it. 1answer 21 views ### Finding optimal drift, importance sampling, least square monte carlo I am working with Importance sampling for Least Squared monte carlo and have now problems understanding the implementation of the Robbins-Monro algorithm for finding the optimal drift for finding ... 0answers 24 views ### Understanding meaningfulness of the BS model for portfolio of 2 assets this is my 1st post here. I would like to discover the beauty of science hidden behind qualitative finance. I have half of the summer fully open for experiments, I am learning Java for this ( chosen ... 0answers 19 views ### Annualized Log Returns I backtested an investment strategy over ten years (521 weeks to be specific) and calculated the weekly return using log returns. The sum of all weekly returns added up to 145%. How do I annualize ... 0answers 22 views ### What are the steps for creating an efficient intra day algo trading system? [on hold] I am trying to create an algo trading system (in C++) using technical analysis strategies to trade in the duration of 1 minute. Initially it will only use it for paper trading. I want to know what are ... 3answers 413 views ### Trading days or Calendar days for Compound Annual Growth Rate? When calculating CAGR for intervals shorter than a year (or intervals that are longer than, but not integer years in length), should you use the 252 trading days or the 365.25 calendar days? The ... 2answers 299 views ### Why is CSA currency OIS rate used in discounting instead of local currency OIS? I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question ... 0answers 18 views ### Options order “logs” - how is it named? And is it somewhere online? [duplicate] I try to find somewhere "logs" of options orders. I mean - when which order was posted for which option and what size. AFAIK, it is named "ticker tape" for stocks; or level-2.. But is there such ... 2answers 94 views ### Realized “efficient” frontier. Is this reasonable? I have performed some out-of-sample analysis of mean-variance optimization with monthly rebalancing. Studying the "realized efficient frontier", I am worried that something is wrong. Since the ... 2answers 198 views ### FX forward with stochastic interest rates pricing I would like to extend the following question about FX Forward rates in stochastic interest rate setup: "Expectation" of a FX Forward We consider a FX process$X_t = X_0 \exp( \int_0^t(r^...
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Any idea where lies the problem? Thank you for suggestions.
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### Basic LIBOR curve question

I'm new to the quant finance and have a very basic question about LIBOR curve. LIBOR is published every day for 4 different tenors (1M, 3M, 6M, 1Y), and each rate means how much annual interest ...
26k views

### how to derive yield curve from interest rate swap?

According to some textbooks, to derive the yield curve, quote overnight to 1 week: rates from interbank money market deposit, 1 month to 1 year: LIBOR; 1 year to 7 years: Interest Rate Swap; 7 ...
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### VIX ETP Net Vega exposure

Does anyone know the calculation that these EQD desks are using to calculate the net Vega exposure of the VIX ETPs? I am assuming it involves shares outstanding in each ETP, the value of a 30 day ...
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### binary option gap option cash or nothing option [on hold]

i have a lot of problem in understanding binary option specially the gap option how the pay-off can be negative ?and the prime can be also negative how we choose the strik price and the montant cash ...
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### Pricing options using particle swarm optimization (PSO)

I am currently trying to recreate some of the work done to price various types of options using particle swarm optimization. In particular, I am trying to price European options using a similar method ...
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### Annualized log return for Equity [on hold]

I came across an old question answered here My question is theoretical. I'm not a mathematician/quant professional so please excuse my lack of knowledge. I've read a few papers on forecasting equity ...
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### What is implied volatility?

I always understood implied volatility as a volatility I need to plug into BS in order to get the market price. My question is if I am using different model, does it mean that implied volatility is ...
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### rugarch: GARCH external regressors

I'm currently playing around with the great rugarch package in R. However, I tried to test the external regressor functionality. I implemented a GARCH(1,1) process and compared it with a GARCH(0,1) ...
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### Comparison of quality across different fundamentals data sources?

There are a variety of different mechanisms and rules used by each fundamentals data provider to standardize and report company fundamentals. For example, the transformation of reported statements to ...
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I am looking for an API to request intraday data for the London stock exchange. I have seen products like eSignal but this seems to include a lot more than the simple data as XML or JSON and is fairly ...
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### How to build a cross currency swap pricer?

We're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a ...
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### Price Barrier Options on Baskets using Quantlib

Is it possible to price barrier options on a basket of stocks using Quantlib, e.g. a Worst-of Down-and-in-Put on a basket of 3 stocks? I already checked the ...
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### Calculation of option Greek (sensitiviety) theta via finite difference

I am able to get good approximations for delta, gamma, and rho via finite difference method, but not theta. I believe my issue is the value of h. Theta is basically the difference between the price ...
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### Models crumbling down due to negative (nominal) interest rates

Given that the negative interest rates on a lot of sovereign bonds with maturity under 10 years are trading in the negative (nominal) interest rate territory (recently also the short term EURIBOR has ...
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### QuantLib FittedBondDiscountCurve fitResults [Error]

I try to use FittedBondDiscountCurve with NelsonSiegelFitting, but I faced with error when call fitResults() method: ...
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### Stochastic Calculus Rescale Exercise

I have the following system of SDE's $dA_t = \kappa_A(\bar{A}-A_t)dt + \sigma_A \sqrt{B_t}dW^A_t \\ dB_t = \kappa_B(\bar{B} - B_t)dt + \sigma_B \sqrt{B_t}dW^B_t$ If $\sigma_B > \sigma_A$ I ...
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### Cross Currency Swap pricing

I have seen two methods for calculating the value of a xccy swap - 1) Convert the future foreign payments to the base currency using forward FX rates, net with the base currency payments and ...
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### EM for conditional Gaussian model

Let $$X_1\sim N(\mu_{X_1},\sigma_{X_2}^2)$$ $$X_2\sim N(\mu_{X_2}, \sigma_{X_2}^2)$$ where $\mu_{X_2}=c+aX_1$. Also, I have data $D$ (with missing values on $X_1,X_2$). How can I update/estimate the ...
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### Where can I find CMS swap trading prices?

I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace. But I don't ...
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### Determining discount factors for non-standard maturities

Let's say we'd like to find a par rate for a 1 month forward starting 20-year interest rate swap. In this case, we'd need to discount cash flows for the payment periods shifted +1 month from standard ...