# All Questions

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### How PCA is performed in the paper “Markov Models…”

can anyone explain in a bit detail on how PCA is performed in the paper "Markov Models for Commodity Futures: Theory and Practice" by Leif B. G. Andersen. I'm not clear on how the high dimension ...
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### Cross Currency Swap pricing

I have seen two methods for calculating the value of a xccy swap - 1) Convert the future foreign payments to the base currency using forward FX rates, net with the base currency payments and ...
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### Trinomial model for stock options with deterministic interest curve

I am implementing a basic trinomial model with constant volatility right now. I want to do an extension that does not take a constant riskfree rate as input, but interpolates between different given ...
27 views

### Anyone know how to build worldquant alpha 101 using pyalgotrade?

Anyone know how to build worldquant alpha 101 using pyalgotrade? Could someone give me the sample code? Or how could I start this project? Or there is another tool can simulate the worldquant alpha ...
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### Data of Credit Migration Matrices

Please advise that how to get the data of credit migration matrices There is a paper of credit migration matrices, I would import the data to Matlab or R for credit analysis. https://www....
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### 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'), ...
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### How to create a synthetic put?

I have been reading into Hull's section on portfolio insurance through synthetic puts. My understanding is that in order to replicate a put we should replicate it's delta. Proceeding, Hull states ...
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### Question regarding volatility forecasting using High Frequency Data

Hi guys this is my first question on the Quantitative Finance section of the Stack Exchange network. I am currently reviewing the paper by Professor Alan E. Speight and David G. McMillan 'Daily FX ...
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### US Treasury interest rate swaps

I know that Bloomberg will give me the swap rates for Treasury 30's-5's, but I don't have a Bloomberg. Can anyone direct me to a source?
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### How were these SDE derived?

Can anyone give me a detailed explanation of how below equations (3) and (4) are derived from (1) and (2)? \begin{align*} \frac{dF_{t,T}}{F_{t,T}} &=\sigma e^{-\lambda(T-t)}dB_t, \tag{1}\\ \ln(F_{...
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### What is the benefit of having proximity to the Bloomberg datacenter?

I own and operate a datacenter adjacent to Bloombergs Datacenter in Orangeburg NY. We have had a couple of trading firms come to us due to our proximity to Bloomberg to receive "data" from them ...
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### Levered beta with changing equity/debt ratios

I know how to calculate a bottom up levered beta for a privately held and not publicly traded company with Hamada (Proof of Hamada's Formula (Relationship between levered and unlevered beta)) and ...
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### Calibration of intensity model

I could use some advice on calibration of stochastic intensity models. I am thinking that the CIR model is most suitable, as it can not take negative values (when feller condition is satisfied). I ...
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### Stock market cash flow

I want to understand better cash flow of stock market and it's participants, but could not find any reasonable information online, hope more experienced people here could help. Money IN flow: (1)...
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### Understanding Vega calculation in black Scholes model

I am attempting to calculate the Greeks, and I understand their derivation. However when it comes to actually implementing Vega I am a little lost. Vega is defined analytically as:  SN'(d_1)\sqrt{T-...
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### Importance Sampling for pricing options with longstaff and schwartz

I have been asking this similar question before. However, I really want to be concrete and get and concrete explanation. I have been reading the paper by Moreni and try to implement the same ...
38 views

### Using CME DV01 to predict Futures price at 0.00% Yield

DV01 is published at CME Group for the cheapest-to-deliver bond here: http://www.cmegroup.com/trading/interest-rates/invoice-spread-calculator.html. If my goal is to get an approximation where the ...
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### What is “swap rate differentials” in relation to currency exchange?

So I'm working on a excel spreadsheet that relates relevant drivers for the FX market. In particular, I was told to look into swap rate differentials. I've read that the interest rate differential is ...
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### Sovereign credit default risk

so I'm tasked with trying to calculate the sovereign credit risk based on a 1 year default probability, and I know that Bloomberg already has a model for the 1 year default probability under the ...