# All Questions

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### How to calculate bond price using QuantLib?

I want to calculate the price of a bond, with discount factors known as a function of time, and fixed coupon. The example I found (bond.cpp) from QuantLib 1.5 looks quite complicated. I deleted the ...
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### Stub rate and first fixing in IRS

I have 2 questions that probably are related. Suppose there is an IRS that pays a 2% fixed rate every 6 months and receives the Libor 3 months (but paid every 6 months). The swap starts today (March ...
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### Co-integration Ratio Using R for pair trading [on hold]

I am hoping to do pair trading using R. To do that , i have to calculate the Co-integration Ratio between the two stocks. How can i obtain this Co-integration Ratio using R ??
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### gauss module for maxlik.lcg and optmum.lcg

Im wondering if anyone has the gauss module, preferably version 10.0 or after, I would like to have maxlik.lcg and optimum.lcg since my version is too old, so it's not compatible with the code I have. ...
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### How to calculate global exposure via commitment approach for FX swaps?

How would you calculate global exposure for FX swaps using the commitment approach? In particular, would you take into account both legs? CESR guidelines (CESR/10-788) defines that the exposure for ...
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### Where can I get equivalent of 3 months libor or swap historical data?

Please note: I have already checked your standard "Historical data sources" link, but it does not have the data I need: I am looking for 5 years of libor/swap data for major currencies. Daily, or ...
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### How to test the 5 Factor CAPM of Fama & French (2014)?

I would like to conduct a study testing the 5 factor CAPM, using UK stocks. Does anyone have any suggestions of how I can do this? Could this task be as simple as regressing average returns for a ...
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### How do estimate parameters of geometric brownian motion with time-varying mean?

Does anyone know how to estimate $A$, $\sigma_1$,$\sigma_2$ from the following system? $$dx = \mu_t x dt + \sigma_1 x dB_x$$ $$d\mu = A(\bar\mu - \mu) dt + \sigma_2 dB_\mu$$ Variation in $x$ could ...
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### What is an appropriate algorithm to use for tax loss harvesting?

I've been reading into how Betterment and Wealthfront have architected their tax loss harvesting algorithms, but they stop short of providing any real examples. Essentially, they both reduce to: ...
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### Please recommend a book regarding Monte Carlo simulation in OAS

I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the ...
You are given a $5\%$ call option worth $\$2.66$. The strike price$k$is$\$41.00$. $S(0)=40$, $Sd=35$ (i.e the lower price of the stock at $t=1$) find $Su$ (i.e the high price of the stock at ...
If I am long a stock $X$ which I purchased at $\$100$and sold a covered call in the front month with strike$\$105$ for $\$2\$ then is it true that the covered call is equivalent to a naked put at ...