0
votes
0answers
19 views

SRRI calculation for absolute return funds

I am trying to understand the formula for calculating SRRI for absolute return funds described in ESMA's guideline CESR/10-673, and Richard's answer has been of great help (What does this formula (to ...
0
votes
0answers
21 views

What is reliable data source for long term and short term capital gain distribution for funds?

The only source where I can find how the capital gains given out by funds is separated into long term and short term distribution is http://quotes.morningstar.com/fund/aqrix/f?t=AQRIX. It seems weird ...
0
votes
0answers
6 views

Do you include negative changes in Working Capital in an uFCFF analysis?

I am running a uFCFF analysis for two different scenarios. In one scenario working capital goes down. Do I include this negative number in the "Change in WC" line? Wouldn't this represent that I am ...
0
votes
0answers
33 views

Stochastic Volatility in current market environment

Some price exotics with stochastic vol, some use other models such as local vol. What is the impact/advantage/disadvantage of using stochastic volatility in the current market environment? In other ...
0
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0answers
24 views

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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votes
0answers
34 views

How to implement an Interest rate neutral strategy using options?

Intuitively one would think that investing equal amounts in an ETF such as TLT and an short ETF such as TBF (with some factor for the interest rate payout of the long fund) should result in a interest ...
0
votes
0answers
30 views

Correction factors for volatilities of smoothed returns

In An Introduction to High Frequency Finance (http://www.amazon.ca/Introduction-High-Frequency-Finance-Ramazan-Gen%C3%A7ay/dp/0122796713), the authors (on page 253) build a tick-frequency volatility ...
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0answers
6 views

Will a back month leg in call calendar lose value if underlying goes down

If I buy a call calendar and underlying drops 5%, the front month short call will get further out of money and will lose value, resulting in a gain since I am short the front month option. What about ...
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0answers
48 views

Exercise 2.2 from the book “The concept and practice of Mathematical Finance”

I am a newbie. Please help me understand how to resolve the exercise 2.2 from the book "The concept and practice of Mathematical Finance". The solution from the book says that our super-replicating ...
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0answers
22 views

Why does the OTM call sometimes have a higher theta than the ATM call?

In this AAPL option chain on Mar20 call options, the OTM calls have a slightly higher theta than the ATM calls. Why is this? Is not time value(and thereby time decay) supposed to be highest for ...
0
votes
0answers
15 views

Amortizing Bond QuantLibXL

I would ask if anybody knows how to do get the NPV of an amortizing bond with QuantLibXL in the most automated way. I found some solutions but are very close to a manual calc, say, pass the vector of ...
0
votes
0answers
11 views

Will implied volatilities rise by same amount across time and across strikes in lieu of an earnings report or a news event

It is said that implied volatility of an option rises leading up to an earnings report or a pending news event like FDA trial, a possible takeover,elections(?) etc. My question is, implied volatility ...
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0answers
22 views

Reducing multicollinearity in Arbitrage Pricing model

I am working on a test example where the idea is to come up with a model that predicts S&P500 returns using the 9 S&P subsectors(XLY,XLP,XLF,etc) as FACTORS.Now i know there exists ...
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votes
0answers
25 views

Calculating the optimal portfolio for an investor with quadratic utility

The problem is from Asset Pricing and Portfolio Theory by Back and can be found here. The relevant info from section 2.5 can be found here. Given that we have the Expected value and the variance of ...
0
votes
0answers
44 views

Self-financing strategy in the Hull-White bond model

I am having troubles with solving a particular problem concerning the self-financing portfolio in the Hull-White model (dr={phi(t)-ar}dt+sigmadW). Consider an expiry-T_0, Strike-K cll-option on a ...
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votes
0answers
20 views

Finding optimal ewma and number of periods usedas features in a time series regression

I am using an exponential moving average (ema) to smooth the return of a price time series. I then want to use the last n periods (features) as the independent variables of the time series to predict ...
0
votes
0answers
12 views

Adjusting simple volatitly for a VaR calc

I'm reviewing a VaR estimate adjusting a simple annualized volatility to an unwind period of x days - in this case for an equity position, using the following formula for a given annual volatility : ...
0
votes
0answers
33 views

Can you use factor loadings to determine portfolio information?

Suppose that you have a portfolio whose composition is uncertain. If you regress the portfolio returns on known factors (e.g., Fama-French 3-factor), can you use the loadings to determine (in general) ...
0
votes
0answers
19 views

Good Exam FM book for Stocks

I am currently studying for the actuarial exam FM and I just took the practice online exam. Unfortunately I am at a 60-70% level and I would like to get that to at least an 80% by April. I think I ...
0
votes
0answers
20 views

Complicated American style option contract with numerous non-standard features (simultanous exercise, additional premium, etc.)

I want to value the following contract for times $0<t<T$, i.e. determine $V(t,\cdot)$ where $\cdot$ refers to all other dependences (strike, spot, volatility, etc.). The contract is long and ...
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0answers
52 views
0
votes
0answers
13 views

Historical data for Canadian exchanges and mutual funds

There are scores of posts on obtaining historical data for many of the big exchanges, but for some reason there is a gap in sourcing historical data for Canadian exchanges. Short of Yahoo Finance and ...
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votes
0answers
19 views

What is the difference between generating portfolios on the efficient frontiers and generating different efficient frontiers

This question is bothering me for a while. We suppose a very simple and basic set up. Given are a certain amount of assets from which we want to build an portfolio in an "optimal sense". MPT gives us ...
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votes
0answers
41 views

How to get get weekly returns from daily data

Good day I would like to get weekly returns data from daily data , I want to use the Wednesday-to-Wednesday approach – the returns (rt) are computed from the Wednesday closing prices Pt , i.e., rt = ...
0
votes
0answers
56 views

Fund Allocation Logic

I am writing a program which automatically calculates the trade allocations. Imagine we have a 3 funds, Fund A, B and C. They current asset allocations (so-far-percentages) are 10%, 20%, 70% ...
0
votes
0answers
17 views

Standardized Abnormal Returns

I have a question. In an event study, I have found a standardized cumulative abnormal return Z test formula. It is attached. I couldn't find any sources to prove it. Do you know any articles about ...
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votes
0answers
39 views

Implied Vola from historical option prices

I have daily Close data of ODAX-options, obtained from ivolatility.com. One third of the daily data shows premiums that are just above the inner value. Even when inserting an implied vola of almost ...
0
votes
0answers
54 views

Greenplum database storage model for time series data

I have to deploy a greenplum database for analysis of time series data. I will have around 50 different time series (s1,s2,s3,...s50) and each series will have multiple pairs (time is 1 hour average ...
0
votes
0answers
28 views

Copula and Correlation

I am intending to use the copula distribution to generate a transition matrix for credit ratings. However, I am not sure exactly what correlation matrix to use. Can anybody help me
0
votes
0answers
43 views

A few basic questions on bonds, yield and derivatives?

I am fairly new to these subjects and direly in need of some basic answers about yields, bonds and derivatives. Please forgive my lack of financial knowledge and poor English. 1- What is the ...
0
votes
0answers
13 views

Real time data map about the amount of a currency that are held in the world ?

Where can I see in real time data about the amount of a currency that is held in central banks (and maybe other significant places) ? A map would be great. I would like to know if there is an ...
0
votes
0answers
15 views

calculating share price from dividend discount model

I am trying to calculate dividend as per dividend discount model for titan company limited (india). Calculations: Cost of Equity: Now, As I have done calculation as shown above (formula on top ...
0
votes
0answers
17 views

VIX For Convertible Bonds

Is there something similar to the VIX but related to the convertibles bonds market in the U.S. ? Thanks, Max.
0
votes
0answers
71 views

Understanding how to calculate position profits and trading profits

I am analysing a data set of trader transactions and would like to implement the methodology found in the paper by Fishe and Smith 2012. The main problem I am having is understanding the difference ...
0
votes
0answers
64 views

Is it possible to generate Alpha by taking only systematic risks?

I read somewhere that to generate Alpha one has to take idiosyncratic risks. But is it not possible to generate alpha by taking just systematic risks. There could be a asset allocation strategy where ...
0
votes
0answers
21 views

CDS credit spreads vs default probability

What is the relationship between a CDS credit spread (as set by the CDS issuer) and the instantaneous default probability (as estimated by the CDS issuer)? I hear they are similar but not the same. ...
0
votes
0answers
27 views

sovereign-bond-interest-rate-spreads-basis-points-over-us treasury

Good day I would like to understand the sovereign-bond-interest-rate-spreads-basis-points-over-us treasury concept, does it mean that we should add the ...
0
votes
0answers
10 views

Ratios to determine company's current purchasing power

what are the parameters which will affect a company's ability to buy a new product or service based on its current financial situation. I found many ratios but I need specific metrics or ratios which ...
0
votes
0answers
44 views

How to value an expansion option?

Fair warning this is help with homework. I am not asking for an answer but some guidance or a formula would be nice. I have absolutely no background in finance and this class is online with no ...
0
votes
0answers
68 views

R TTR/RSI does not behave like a Bloomberg RSI

The implementation of TTR:RSI differs slightly from the RSI calculated in Bloomberg, see more details here. I use in TTR the SMA, which simply calculates the mean, that is a walking window of: ...
0
votes
0answers
21 views

Immunising pension liability due in 4y?

Help required please on calculating the amount of Zero Coupon Bonds and annuity bonds that are needed to immunise a portfolio against interest rate risk, for a pension fund that expects to pay £500bn ...
0
votes
0answers
55 views

Using the R package “ termstrc ”

I am attempting to use the function estim_nss from the termstrc package in R. However, I am experiencing the following error: ...
0
votes
0answers
21 views

Does anybody know how to use jquantlib with eclipse?

I'm currently beginning to work on my masters project in QF and I wanted to use jquantlib for my work. I've searched the internet quite a bit but couldn't find good understandable info on how to work ...
0
votes
0answers
19 views

If you knew market’s expected spot rates, could you deduce if there is a forward-risk premium?

Suppose that you were importing small electric transformers, that delivery from all suppliers would take approximately 6 months, and that you faced the situation shown in the table below: The Table ...
0
votes
0answers
41 views

Portfolio Performance Metrics

In comparing different long portfolios in stocks for 15 quarters, where at each quarter I re-balance the portfolio. So what I have done is made a function that outputs the rand value of the portfolio ...
0
votes
0answers
108 views

Black-Litterman with simple portfolio

In an attempt to learn Black-Litterman I have come across this "simple" example. Suppose that you analyze market data using CAPM $$r_i-r_f=\beta_i(r_m-r_f)+\epsilon_i$$ Suppose there are 2 assets in ...
0
votes
0answers
73 views

Are there any software libraries for backtesting FX algorithms against tick data?

I've read question, however it doesn't appear as if any of those libraries work for FX data. A Google search for python forex backtesting turns up this project, ...
0
votes
0answers
22 views

Forecasting bond yields

Do you know any models which can be used for prediction of corporate bonds yields (or goverment bonds yields) when we know forecasts of macroeconomic fundamentals (gdp, fed funds rate, interbank rate, ...
0
votes
0answers
31 views

Calculation of physical and risk neutral density using index options

I am asking professionals for a help. There have already been the post Data Selection for Empirical Pricing Kernel Estimation (Stochastic Discount Factor) from Finance_Newbie. But I am wondering ...
0
votes
0answers
19 views

How to estimate portfolio value in money as function of spread

I'm a beginer in field of quant algos, so sorry for my lame question. I'm trying to calculate portfolio value of 2 currencies in basic stat arb strategy as function of spread change. But my value in ...

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