0
votes
1answer
44 views

What is shorting a asset that has negative price. Can anyone give me an example? [closed]

What is shorting a asset that has negative price. Can anyone give me an example?
0
votes
1answer
76 views

How does buying back stock affect a company's credit spread?

How does buying back stock affect a company's credit spread? Would it cause it to get smaller? Any clarification would be appreciated.
0
votes
1answer
740 views

I want to keep a column in getSymbols or get.hist.quote with the Date as as.Date format [closed]

I use getSymbols to download historical information over an environment with 200 tickers but I cannot seem to keep the date information from becoming an index. I ...
0
votes
1answer
80 views

Are proof-of-work systems used by exchanges?

Are there any proof-of-work systems used by exchanges? If not, are there any interesting proposals worth reading? In principle, there might be applications for proof-of-work systems in preventing ...
0
votes
1answer
145 views

What is the realized volatility's estimation error?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in ...
0
votes
2answers
99 views

Calculate price of index from underlyings (weightings included)?

I have a day's worth of LSE data (FTSE100 companies) and I also have their weightings for the FTSE100. Ignoring the net present value of money, how do I calculate the current value of the FTSE? I ...
0
votes
1answer
217 views

Is the risk-reward ratio considered in Quantitative Finance?

Many discretionary traders swear by risk-reward ratio, as in "The minimum risk-reward ratio for a Forex trade is 1:2." Do quantative traders use risk-to-reward ratio as well? If so, how do you ...
0
votes
4answers
1k views

compute sharpe ratio for options?

Calculating sharpe ratio for shares is a straight forward task: (average returns - risk free ) / standard deviation. However i remain baffled as to how to tackle the task for options, can someone ...
0
votes
1answer
918 views

Determine state price vectors?

I have 3 states with two assets, stocks and bonds. The bond has a payoff of 1 in every state of the world. And the stock has a current price of $S_0 = 100$ and ...
0
votes
1answer
488 views

How to plot custom hourly data into R with quantmod?

I'm trying to get into R because for some personal project, I need R and quantmod to create OHCL charts for me. I'm stuck at the candleChart creation step, and I'm not sure I understand why. Using a '...
0
votes
1answer
124 views

VIX Calculations/Which product?

If the spot VIX is the implied vol off of the options on the SPX Index. But which tradable product would that be? Can’t you technically only buy ETF’s that track the SPX (SPY) or buy the ES futures. ...
0
votes
1answer
553 views

backtesting with open, close, high and low

I am quite notice at the business of backtesting for an automated strategy. I was wondering, can I/should I use High and Low for this purpose? On one hand, the algorithm will see these prices, but on ...
0
votes
1answer
213 views

Asynchronous Data Across Time Zones - RiskMetrics

I'm currently involved with a project to integrate RiskMetrics into our business and one issue we've identified is the treatment of market data timing across time zones. This can have the effect of ...
0
votes
3answers
232 views

Black model - volatility estimation

In the Black (1976) model: We should use the settlement prices of the underlying futures contract in order to estimate the volatility, right? Or can we also use the spot prices? Because the ...
0
votes
3answers
2k views

How to calculate return rates with negative prices?

I'm dealing with electricity options and I'm considering the possibilty of negative prices. I want two estimate the historic volatility. However, an arithmetic mean doesn't feel appropriate and $\log(\...
0
votes
1answer
659 views

Zero Curve Calculation for AUD, CAD (post LIBOR scandal)

In the end of May 2013 British Bankers Association (BBA) stopped publishing LIBOR rates for Australian and Canadian dollars in a light of recent scandals. LIBOR rates were essential for creating zero ...
0
votes
1answer
2k views

How to adjust local currency returns to US$/EUR return?

Iam doing research on return characteristics. As of today the scope of the research has changed from a local investor point of view to an international investor point of view. This basically means ...
0
votes
2answers
552 views

Regression with Lagged variables

I am new to regression analysis. Let's say initially I have a linear regression x = alag(x1) + blag(x2) + clag(x3) -- eq 1 I want to predict the price x based on the the price of x from previous ...
0
votes
1answer
235 views

volatility Table and BS formula

assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"? I am ...
0
votes
1answer
669 views

Selecting timeframe for time series analysis

In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now. Similarly, if we use time series forecasting methods to predict(say daily data-whether S&...
0
votes
2answers
219 views

Trade Count Time Series

Is historical information on the counts of trades in single stocks, futures, options etc. available somewhere for download or purchase? If not, which ways can you think of to gather it?
0
votes
2answers
185 views

FpML class generation gives error

I am creating classes out of 5.1 FPML specification but I get following error. ...
0
votes
1answer
2k views

Can someone explain what “Exotics Trade Capture” capture means in layman's terms?

I am trying to find out what Exotics Trade Capture entails. I can't find anything on Google that isn't a job posting, which is where I saw this term. Say you did this for a living, how would you ...
0
votes
1answer
51 views

Can someone check this boundary condition for me?

At the moment I'm comparing plots between the implicit numerical Black-Scholes PDE and the Monte-Carlo Method for the Black-Scholes equation. However, for the particular boundary condition I'm using I'...
0
votes
1answer
18 views

Rest API to retrieve ISIN

What is best API to lookup ISINs by number or name? In other words, ideally I would like to have an rest-api like this: ...
0
votes
1answer
33 views

Theoretical price of bond : utility

Why should one calculate the theoretical price of bond if there is already a market quote ?
0
votes
1answer
21 views

how to convert quarterly data to monthly

Is there any way to convert quarterly data to monthly in excel or preferably in STATA? I Next to that, how can I transform dates in excel so as to be recognized by STATA?
0
votes
1answer
24 views

Trying to understand T-Bond futures settlement. What am I missing?

Here's a puzzle I encountered when trying to understand how treasury bond futures (/ZB) are settled. Supposed I am short 1 September ZB contract at \$170, and on its last trading day the contract ...
0
votes
2answers
28 views

Calculating the interest rate from a EuroDollar Futues contract

I would like to calculate the interest rate from a EuroDollar Future Contract(say the Sep-16 Futures Contract is trading at 99.2575). From the interest rate, I would like to calculate the zero coupon ...
0
votes
1answer
30 views

How buying/selling pairs and entering/exiting trade works in pairs trading?

Lets say I have two stocks x and y and their corresponding stock price p(x) and p(y). consider HR as hedge ratio. Then we can calculate the spread using this equation. $spread=p(x)-HR*p(y)$ from ...
0
votes
2answers
53 views

What is the probability of defaulting in year 2?

I was asked this question the other day, but it's been years since I've done this work. If the probability of a company to default in a year is $8\%$, what is the probability that it will default in ...
0
votes
1answer
35 views

Is there a formula for present value of a growing annuity with yearly payment growth and monthly payments? [closed]

I have seen formulas that have cracked the future value of growing annuity where there are monthly payments and yearly growth rates. But given a future value, is it possible to derive the present ...
0
votes
1answer
38 views

yield/price of treasury bonds

I tried to calculate treasury bonds YTM from their clean prices through different formula on excel ("yield" or "rate") and found the same result. However, I do not know whether using the "yield" ...
0
votes
2answers
40 views

How to interpret my Four-Factor Model results?

I am currently writing my thesis using the Carhart Four-Factor Model. I got my results but I am not sure how to word them. Coefficient on my SMB is 0.22. Wording: if small companies returns are 1% ...
0
votes
1answer
27 views

example regarding zero coupon bonds

This example is from Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by Carmona, René, Tehranchi, M R. I am wondering if the calculation is correct?, he says ...
0
votes
1answer
28 views

Transforming log return volatility into standard return volatility

If I have a forecasted volatility of the log returns of say, 0.03, this is obviously transformed relative to the log I took of the returns. It strikes me that I should raise ...
0
votes
1answer
40 views

Sharpe ratio highest amongst efficient portfolios?

I have a hard time understanding why the sharpe ratio corrresponding to the efficient portfolios is the highest possible. In my book, it states that the sharpe ratio of the efficient portfolios is ...
0
votes
1answer
52 views

Prove Volatility Parametrization of Libor Market Model is Bounded/Not Bounded

How can I prove that the function $$\sigma_i\left(t\right) = k_i\left[\left(a+b\left(T_i-t\right)\right)e^{-c\left(T_i-t\right)}+d\right]$$ is bounded/unbounded? $\sigma_i\left(t\right)$ is the ...
0
votes
1answer
51 views

GARCH Model Constant in Regression

When regressing a variable on a constant of 1, the coefficient of this constant is the mean. However, when I specified that the residuals follow a GARCH(1,1) model, the coefficient of the constant ...
0
votes
1answer
34 views

Calculate historical duration based on current duration & historical prices

Suppose I have today current duration of a bond and it's historical daily prices. How from that I can calculate the historical duration? e.g. the value of duration I would saw if yesterday, week ago, ...
0
votes
2answers
36 views

What is a definition of “Benchmark”?

The word "benchmark" is often used in Finance, but in a rather fuzzy manner, there for a rough idea of what it is, and how it is 'defined'. Can someone provide a rigorous and precise definition of ...
0
votes
1answer
6 views

What is the u vector in the expression for the weights of the min variance portfolio

I was working on my finical math homework where I need to find the minimum variance portfolio. I need to use the following matrix expression. Nowhere in the class notes does the instructor say ...
0
votes
1answer
48 views

Lebesgue-Stieltjes integration and related topics

The theory of stochastic integration relies on the concept of the Lebesgue-Stieltjes integral. However, it is hard to find a textbook that handles this concept in detail. Take, for instance, Chung ...
0
votes
1answer
57 views

Accurately calculating Greeks for options near expiration

I understand that when a vanilla European option is near expiry, the Theta calculated from BS formula is very inaccurate and almost meaningless for practical use. However, I'm not sure if other ...
0
votes
2answers
39 views

CAPM - Do I use start or end of period prices?

If I use monthly price data in the standard CAPM, should I take the price at the beginning or the end of the month? What is the convention? Or does it not matter? Is there any literature that deals ...
0
votes
1answer
41 views

Calculating VaR of an Incomplete Distribution

I am currently completing a multiple choice question that has stumped me. An asset has its price and its corresponding probability described as: 100, 0, -50, -70 and -90 with probabilities 50%, 12%...
0
votes
2answers
111 views

How Much cost to setup trading platform such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?

Basically if someone want to setup a hedge fund how much cost to buy trading software such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?
0
votes
1answer
17 views

Getting a better return on multiple combined stocks, than individual stocks gains. Kind of like a sports accumulator

Ive identified 4 stocks that i think will gain 10 - 20 % when their next quarterly report is released. If you've only got access to a small amount of capital say USD10,000 the by buying USD2,500 ...
0
votes
1answer
31 views

Stochastic volatility and forward start contracts

Why is it more accurate to use stochastic volatility when pricing let's say a forward start option (ie an option priced today but striked in a future date) ?
0
votes
1answer
39 views

When is option value inversely related to expected volatility?

It is common knowledge that the greater the expected value, the higher the option value. However, there are surely exceptions, as written by Paul Wilmott's FAQs in Quantitative Finance Q: If you ...

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