0
votes
1answer
19 views

Forex P&l Attribution on Physical Forward position

Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below ...
4
votes
0answers
97 views

Integral-differential equation for forward rates

I am struggling in this question: Let $P(t,T)$ denote the price of a zero-coupon bond (with marturity at time $T$) at time $t \in [0,T]$. As usual, at time $t$ for maturity $T$, the forward rate is ...
0
votes
0answers
25 views

How to calculate APR on term year

What is the APR on a $$300,000 fixed rate loan amortized over 30 years but due in 10 years if the stated annual interest rate is 5.0% and the lender charges 2% as an origination fee, $18 for a credit ...
0
votes
1answer
25 views

Where to get analysts' earnings estimates data? [duplicate]

I know thomsonreuters provide analysts' earnings estimates data. Is there any sources I could get it for free? For example, this website has analysts' earnings data. What's the source of this and how ...
2
votes
1answer
69 views

examples of c++ code with application to quant finance [closed]

I've some intermediate knowledge in C++. However, the knowledge is more of a theoretical nature and not applied to quant finance problems. I'm looking for good sources, code examples books blogs ...
0
votes
1answer
29 views

Calculating “Market Index Dividend Yield” of the ASX

In attempts to establish an investment portfolio with a long term horizon, the method of relative dividend yield has caught my attention. I require the Market Index Dividend Yield to proceed. The ...
0
votes
0answers
37 views

For futures contracts, do we need to do price adjustment during live testing?

I am trying to do pair trading on a pair of future contracts, e.g. CME gold and silver. During the training of my trading model, I do forward adjustment on the pair of future contracts. Let the ...
0
votes
1answer
88 views

Skew in Black Scholes model

We are modeling Foreign exchange rates using Black Scholes model given below: $$F_{t}=F_{t−1} + (r_d−r_f)F_{t−1}dt + \sigma F_{t−1}dW_t$$ Where: $F_t$ and $F_{t−1}$ are FX rates at time $t$ and ...
1
vote
1answer
56 views

To lump or not to lump

Suppose I have a very simple asset whose price takes only three possible values: $X_t\in \{-1,0,1\}$. I also got some discrete time series $X = (X_t)_{t\geq 0}$ and I would like to come up with a ...
2
votes
1answer
79 views

ARIMA model, cannot get rid of low order ACF spike

I've gone through all the steps to fit a good ARIMA model - I plotted the data, I looked at the ADF tests, I looked at the ACF plot with no AR and MA terms just a constants. I came up with an ...
1
vote
1answer
49 views

What do I need to do with my data before fitting the ARIMA model?

I'm fitting a stock price time series data to ARIMA model and I have a question about the assumption. Is it that ARIMA only applies to stationary data? The ACF and PACF of the data (and the logged ...
0
votes
2answers
60 views

How does Yahoo finance calculate Beta?

I am trying to replicate the beta value that yahoo calculates but I am getting different results. According to Yahoo, its beta is calculated using 5 year returns against the SP500: yahoo beta I ...
6
votes
2answers
207 views

Why is this stochastic integral a martingale?

Suppose that: $W^*_t$ is a Wiener process under probability measure $\mathbb{P}^*$ and; $\tilde{S}_t=S_0+\sigma\int_{0}^{t}S(u)dW^*_s$. In my lecture notes, it says that $\tilde{S}_t$ is a ...
4
votes
2answers
104 views

Portfolio Optimization to include ALL Securities?

I'm currently optimizing portfolio weights for an investment team with N stocks. We buy stocks with a conviction it will generate a return and it is up to me to determine weighting. However, with ...
5
votes
2answers
107 views

How to annualise the volatility of non-iid returns?

I have a series of monthly log-returns; let's assume the log-returns are normally distributed, but exhibit significant serial correlation. In the case of normal, i.i.d. returns, I can annualize the ...
3
votes
1answer
51 views
+50

How consequential are violations of the efficient diversification assumption of asset pricing models?

When using asset pricing models such as the CAPM or the Fama-French four factor model to determine the risk-adjusted return of a portfolio, does this strictly require efficient diversification of the ...
2
votes
2answers
83 views

How to find the best fitting GARCH model for a portfolio composed of 3 ETFs in R?

I am doing a project for my class Financial Time Series in which I am trying to forecast my portfolio log returns using a GARCH fit. I am having a bit of trouble determining the best way to fit this ...
-1
votes
0answers
15 views

garchFit formula problems in R

I am working on a Financial Time Series project in R. I am using GMVP.R which has this line: m1=garchFit(~1+garch(1,2),data=rtn[1:t,i],trace=F) I am trying to understand what the 1 before ...
1
vote
1answer
44 views

Difference between CAPM and mean variance optimization

Is the mean variance optimization the same thing as the capital asset pricing model? Or is the mean variance only a part of CAPM?
0
votes
1answer
30 views

What are the technical events that fluctuate quoted asset (e.g. forex) prices? How does it relate to the purchase of currency contracts?

This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note ...
2
votes
1answer
47 views

Book recommendation on robust optimization

I have a bachelors degree in economics and I took undergrad courses on mathematical optimization methods for economics and dynamic optimization in economics and econometrics. Now I'm taking an ...
2
votes
2answers
46 views

Finding Expression for Optimal Markowitz Weights

So there are two assets with return rates $r_1$ and $r_2$ which have identical variances and a correlation coefficient $p$. The risk free rate is $r_f$. I need to find an expression for the optimal ...
2
votes
1answer
41 views

Maximizing utility subject to a wealth constraint

Let $\tilde{E}$ be the risk neutral expectation, and $X_t$ the wealth that time t and $R$ the return of a risk-free investment. Consider maximizing the function $EU(X_N)$ subject to ...
4
votes
1answer
43 views

Obtaining logical lists of Bloomberg security codes in Excel

I am using Bloomberg's BDP and BDH functions in excel to retrieve data for a set of options. The problem is that (as underlying prices move and expiration dates come and go) option strikes are ...
2
votes
3answers
128 views

Pricing exotic option whose payout depends on the stopping time

I am struggling with this question: Let $B$ be a standard Brownian motion. In a Black-Scholes model, at time $t$, the stock price is given by \begin{equation} S_t = \exp \{ \sigma B_t + ( r- ...
1
vote
0answers
63 views

Financial risk and Matlab

What toolbox are more suitable for a risk analyst. I found this: Optimization toolbox Global optimization toolbox Econometrics toolbox Financial toolbox Statistics toolbox And also I have as a ...
1
vote
0answers
46 views

Risk measures, Risk Management and Financial Risk Area

I'm currently searching material about market risk and I learned about coherent risk measures, VaR, CVaR (or expected shortfall), volatility. All that because I have to make a Financial Risk Area for ...
2
votes
2answers
39 views

Where can end-of-day price volume data for Japanese stocks be downloaded or subscribed to?

Yahoo finance and google finance do not provide such data. Where can one download Japanese stock data?
0
votes
0answers
53 views

When should we use KDB database and when should we not?

What are the criteria s we should look into when we want to choose the suitable database. suppose If My requirement is to have a huge amount of insert and updates only the should we use KDB. When ...
1
vote
1answer
24 views

Simulate from time-dependent copula in MatLab using COPULARND

I would like to simulate from a t-copula with time-dependent correlation matrices. Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 ...
-1
votes
1answer
74 views

Why didn't my order get filled?

So I placed an offer to sell a few liquid options on an already illiquid stock the other day. I put an offer to sell a deep OTM put, the market makers who had their offers in place had, lets say $1, ...
2
votes
1answer
48 views

Yahoo finance inaccurate stock data

Why is Yahoo Finance historical stock price data inaccurate? See examples: AAPL - actual closing prices in 2012 when AAPL previously closed > $100/share adjusted ...
-1
votes
1answer
50 views

How to compute the historical VaR for a portfolio with long and short positions?

I would like to calculate historical Value at Risk for a portfolio that includes both long and short positions in forward contracts. The part that confuses me is that I wonder whether the VaR of the ...
1
vote
4answers
96 views

How to extrapolate VaR?

I have a model predicting 1-day VaR. How does 1-year VaR follow from it? Shall I just multiply by 365 or another method?
1
vote
0answers
29 views

How to compare market values with model values after calibration?

After calibration the G2++ model for interest (with swaption volatilities), I want to statistically test the quality of the calibration by comparing market to model values. What is the best way to ...
1
vote
1answer
42 views

Yahoo YQL missing industry “Industrial Metals & Minerals”

When I issue the following query select * from yahoo.finance.industry where id="133" I get the following results ...
1
vote
0answers
21 views

Sharpe Ratio for loans

I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans. interest rate is the ...
3
votes
2answers
82 views

Why cant I multiply two SDE Solutions?

SDE 1 is S1 = S10 exp( (r1-sigma^2/2) * dt + sigma dW1 ) S2 = S20 exp( (r2-sigma2^2/2) * dt + sigma2 dW2 ) E[dW1 dW2] = rho I want to price an option on S1 x S2 I know i need to use SDE's to find ...
1
vote
0answers
65 views

Review of Excel Stock Simulator

I am currently a senior in high school and I built a stock simulator using knowledge gained from a semester of AP Statistics. I was wondering if someone could tell me if my simulation is ...
0
votes
0answers
16 views

Maximum effect of day count convention on pricing bonds

Say that I have a portfolio of corporate bonds, maturing in 10 years with a 5% coupon rate. Suppose that the day count convention for these bonds is 30/360. If I were to create a batch process ...
0
votes
0answers
13 views

Correct term for position accumulation relative to price?

I've been looking at various accumulation algos and it appears that the greater majority are predicated on building a position largely relative to a time component or market volume for obvious ...
1
vote
0answers
8 views

How can I conditionally reorder EPS data in an Excel table using visual basic for applications based on the frequency of the earnings announcements? [migrated]

I have downloaded earnings per share data from Bloomberg for a large number of assets for one year. The resulting table measures 4 rows and around 3000 columns. Some columns contain four values, some ...
1
vote
1answer
28 views

negative discount and zero rate on swap bootstraping

Hi I am writing a program to Bootstrap a EURO zero swap-curve for tenor 3M and 6M with given bid and ask. When I run the program , I get a negative zero rate and discount factor from 5Y till 30Y for ...
5
votes
1answer
110 views

Girsanov's Theorem - Change of Measure

I have trouble understanding Girsanov's theorem. The Radon Nikodym process $Z$ is defined by: $$Z(t)=\exp\left(-\int_0^t\phi(u) \, \mathrm dW(u) - \int_0^t\frac{\phi^2(u)}{2} \, \mathrm du\right)$$ ...
2
votes
0answers
76 views

How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method?

How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method? https://en.wikipedia.org/wiki/Brownian_bridge P.S: Brownian Bridge ...
1
vote
0answers
32 views

suitable benchmark to use for Sharpe ratio of power trading strategy

I have a algo which is trading a certain power contract. For calculating the Sharpe ration what would be a suitable benchmark to use?
3
votes
2answers
34 views

Deriving credit spreads or migration matrices from prob of default

How do I derive credit migration/transition matrices or spreads from default probability? May you please provide references, or do you know what type of articles or authors to find?
1
vote
1answer
25 views

PEGY Ratio: Does it make sense?

PEGY ratio is calculated as PE ratio/(Earnings Growth Rate + Dividend Yield). Putting aside the discussion of whether forward or trailing P/E ratio should be used, isn't adding dividend yield over ...
5
votes
1answer
73 views

Proving that Absence of Arbitrage does not imply law of one price

I am trying to prove that the Absence of arbitrage statement (AOA) does not necessarily imply the law of one price (LOP). For the definitions of these concepts I am using Cochrane's book "Asset ...
3
votes
0answers
81 views

How do I calculate the probability of a stock being above or below a value using the Heston model?

How can I use the Heston Model to calculate the probability of a stock being above or below a certain value on a given date in the future?

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