# All Questions

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### Greeks of self-financing portfolio

I would like to learn more about the Greeks of portfolios of options: In textbooks and websites, I commonly encounter the unqualified claim that "The Greek measure of a portfolio is the sum of the ...
50 views

### How to get all securities in an asset class from IBPy (Interactive Brokers python API)

Would like to know how to request all securities in an asset class using IBpy, the python wrapper for the Interactive Brokers API. For example getting all currency pairs in the class forex ('CASH'), ...
40 views

### Correct Theoretical Discount Factors from Nelson-Siegel-Svensson?

I am calculating the theoretical discount factors associated with a bond that has 30 months to maturity from today with the parameters below obtained from here using the Nelson-Siegel-Svensson Model. ...
110 views

### Calculating Accrued Interest of Bonds

I am trying to calculate the accrued interest for a set of Treasury Bonds. I am comparing the answer from the code below with that for the 1st Bond(row) over here. In the link the AI is ...
113 views

### Does it make sense to apply complicated mathematics to calculate with precision when the margin of error is +/-10%? [closed]

This is more of a philosophical question than general question. Quantitative finance applies highly complicated mathematics and has attracted very smart people to this field lately given the high pay ...
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74 views

### PPPN: participation rate, stocks and premium

I'm a student of financial engineering and am very new to all of this stuff. Now, I'm trying to make an "example of a beginners exercise", but alas, I don't have any clue on how to solve or even on ...
1k views

### 30360 Daycount Count Convention to find NPV for Bonds

Using a 30/360 day count convention, how can you value the NPV of these cash flows and the discount factor? I know how to discount cash flows but how does it differ using a 30/360 approach? What is ...
137 views

### Finding historical data for indices [duplicate]

Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ...
332 views

### Modeling Financial Time Series

Price time series are not stationary. So we difference them and get the return time series, which are stationary. Does this mean, it is always a good idea to model only the return series of financial ...
394 views

### Getting the next price of a GBM (Geometric Brownian Motion)

I am writing a program that creates realizations of a GBM. Starting from an initial price, I get the following price with this formula: ...
157 views

### How is the price of a bond actually determined?

How the price of a bond is actually determined? Is it the supply-demand that determines the price first and then the YTM is calculated on the back of this for that bond. Or is it that the changes to ...
76 views

### Do FRN's *always* trade on par on reset days, regardless if the issuer's credit quality has changed?

I keep reading that floating rate notes trade on par on coupon reset days. Is this always true, regardless of changes in the issuer's credit quality since the FRN was issued? It seems probably ...
170 views

77 views

### Calculating units in a cross currency short trade

If I have a forex account with a broker and a balance of 100 USD, and I'd like to short EUR/JPY, how many units can I short? How is this calculated? Which currency pair do I use to translate between ...
730 views

### Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...