# All Questions

2k views

### ADF test in R yielding perfect cointegration. How is this possible?

I am using the famous conintegrated pairs tutorial to just different stocks for cointegration. The adf.test yeilds perfect cointegration, which I feel must be incorrect. Here is why: When I run ...
1k views

### Is Vasicek risk neutral?

I am a bit new to this, and am trying to understand the concepts of the risk neutrality in interest-rate models. What I can't seem to understand is why the Vasicek model is risk-neutral? Following ...
3k views

### Is there a Bloomberg field for a bonds (upcoming) coupon dates?

For a specific bond I need to calculate the time until each of the upcoming cash flow payments (for obvious reasons). So I wondered if there is a field (bulk data) that gives me all the dates of the ...
238 views

### What is most reasonable approach to determine side of a multi-leg options order?

Say, 4-legged multi-leg options order with below leg ...
221 views

### SDE simulation: P or Q?

Let's take a GBM under $P$: $dS=\mu dt+\sigma dW_{t}^{P}$ and then under $Q$ $dS=r dt+\sigma dW_{t}^{Q}$, where $dW_{t}^{Q} = dW_{t}^{P} + (\mu - r)/\sigma dt$ Now, let's say that I have ...
344 views

### Correlated Wiener processes of different factors

I'm relatively new in this field, so I have a couple of points that I need to clarify. I would like to know how I can estimate the correlation matrix necessary to implement a Cholesky decomposition ...
611 views

571 views

### How to derive zero-coupon rates from IRS?

How can I calculate zero-coupon rates from historical IR swap rates? I have a record of IRS for the past 4000 days and I am want to compute the zero coupon rates based on them.
519 views

In his paper Budgeting and Monitoring the Risk of Defined Benefit Pension Funds, Bill Sharpe writes: [...] the sum of the weighted marginal risks of the portfolio components will equal twice the ...
177 views

### Forecasting Equity returns using state-space models

I have data for 3 yrs of 5 min prices of various equities. I can construct a linear regression model and try to see the in-sample model performance. But I was wondering whether fitting a state-space ...