# All Questions

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### Combos on close SPX

I am wondering if anyone has any information on how combos on close trade. I've been looking at the BTIC (http://www.cmegroup.com/trading/equity-index/btic-block-trades.html) and was wondering if ...
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### shifted SABR - ATM vol

quick question guys. I know that for Shifted SABR (or any other Shifted model), we simply model the underlying price process (lets say the forward interest rate F), as F' = F + x, x being the shift. ...
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### combining returns in portfolio analysis

In portfolio analysis, can anyone think of a reason it might be a bad idea to simply combine all the past returns into a single return based on your asset allocation and then determine portfolio and ...
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### Integration in the Hull-White SDE

I'm stuck in solving the SDE in Hull-White interest rate model. I do not have a thorough background in math (only Real Analysis during my blissful undergrad years), so I am having trouble ...
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### What are the answers to these questions on card deck and option pricing?

here are 3 questions I have some trouble dealing with. Your help will be greatly appreciated! 1 - We have a deck card: 26 red, 26 black. we play a game: you draw a card from the deck without putting ...
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### What is the importance behind an efficient frontier to be a straight line in the standard deviation-mean plane for Mean-Variance Portfolio Selection?

I'm currently working on a research project regarding Continuous-Time Mean-Variance Portfolio Selection problem. I got curious on why is it important for the efficient frontier to be a straight line ...
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### Pricing a Vanilla swap between coupons; What rates to use?

Vanilla Swap question. Entered into a 5Y fixed for floating HUF swap. Fixed is annual coupons, Float is semi-annual coupons. 1 month later I want to price it. I set up my future values for Fixed ...
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### Why does the forward rate curve lies above the spot rate curve and the yield to maturity curve?

I saw a picture of 3 different yield curves, a spot rate curve, a forward curve, and a yield to maturity curve. The forward curve was at the top, the YTM curve at the bottom. I don't understand why.
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### Compound interest calculator solving for time with deposits [closed]

I am attempting to solve a compound interest calculation for time given Principal = 100 Time(years) = t Rate(per year) = 8% Deposit(per month) = 5 Total = 300 I ...
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### Interest Rate Convexity - Fundamental Question

I have a very basic question around convexity adjustments in swap valuations. I am comfortable with the mathematical derivation of the convexity adjustment. My question relates to when and why a ...
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### Integration to calculate expected value of swap rate

In Hagan's paper on valuing CMS swaps (Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors), there is: So the swap rate must also be a Martingale, and E \big[ R_s(\tau) \big| ...
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### Optimize a trading strategy created in excel with R

I have created quite a complex back test in excel spanning 15 years with 17 parameters. I would like to optimize the parameters which would give me maximum return given a maximum draw-down percentage. ...
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### Bloomberg Historical Fundamental Data - Point in time

I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available. For instance, the ...
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### Can we derive 5 year zero coupon interest rate by using 1, 2 and 3 year zero coupon interest rate?

Given that the 1 year zero coupon bond interest rate is 5%, 2 year zero coupon bond interest rate is 6% and 3 year zero coupon bond interest rate is 7%. 4 year coupon bond price and interest rate are ...
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### The equivalence of APV and WACC

How would you prove the equivalence of APV and WACC (for a firm with constant D/E ratio)?
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### What are “df”, “t”, and “p” in these sharpe ratio related estimates?

I am looking at some sharpe ratio related estimates and have not seen Sharpe stats broken down this way before. I don't know what is meant by df, t, and p. Can someone explain that to me? Thank ...
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### Portfolio Theory: Must VarCovar Matrix be based on return var/covar?

I am trying to estimate the minimum variance portfolio where the assets are currency derivatives. In the specific case it does not make sense to base correlations or variance on asset returns. I am ...
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### given someone's past investing history, is there a way to calculate his risk aversion?

given someone's past investing history, is there a way to calculate his risk aversion? Say, we know this client's investment history for example his past return, is there a way to calculate his risk ...
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### Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...