# All Questions

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### Immunising pension liability due in 4y?

Help required please on calculating the amount of Zero Coupon Bonds and annuity bonds that are needed to immunise a portfolio against interest rate risk, for a pension fund that expects to pay £500bn ...
74 views

### Using the R package “ termstrc ”

I am attempting to use the function estim_nss from the termstrc package in R. However, I am experiencing the following error: ...
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### Does anybody know how to use jquantlib with eclipse?

I'm currently beginning to work on my masters project in QF and I wanted to use jquantlib for my work. I've searched the internet quite a bit but couldn't find good understandable info on how to work ...
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### If you knew market’s expected spot rates, could you deduce if there is a forward-risk premium?

Suppose that you were importing small electric transformers, that delivery from all suppliers would take approximately 6 months, and that you faced the situation shown in the table below: The Table ...
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### Portfolio Performance Metrics

In comparing different long portfolios in stocks for 15 quarters, where at each quarter I re-balance the portfolio. So what I have done is made a function that outputs the rand value of the portfolio ...
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### Comparing Portfolio Volatility with Index Volatility seems a wrong method?

thanks for looking into this question. I am comparing an investment strategy against the S&P 500 for a financial article I'm writing. I compute volatility of the Portfolio in this way, as the ...
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### I have volatility of a portfolio in year 1 and in year 2. How do I calculate the volatility over the total 2-year period?

thanks for looking into this question. See the picture below (better is right-mousebutton - open in new tab). I also have the price and return data of the Stocks if that's needed to calculate the ...
126 views

### Black-Litterman with simple portfolio

In an attempt to learn Black-Litterman I have come across this "simple" example. Suppose that you analyze market data using CAPM $$r_i-r_f=\beta_i(r_m-r_f)+\epsilon_i$$ Suppose there are 2 assets in ...
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### Historical Data - Free Sources in 2015? [duplicate]

I've found some free sources for stock historical data but none that aren't broken links or give me quite what I need. I want... For NASDAQ, S&P 500, DJIA: Historical data for the past 5 years ...
27 views

### Forecasting bond yields

Do you know any models which can be used for prediction of corporate bonds yields (or goverment bonds yields) when we know forecasts of macroeconomic fundamentals (gdp, fed funds rate, interbank rate, ...
33 views

### Calculation of physical and risk neutral density using index options

I am asking professionals for a help. There have already been the post Data Selection for Empirical Pricing Kernel Estimation (Stochastic Discount Factor) from Finance_Newbie. But I am wondering ...
19 views

### How to estimate portfolio value in money as function of spread

I'm a beginer in field of quant algos, so sorry for my lame question. I'm trying to calculate portfolio value of 2 currencies in basic stat arb strategy as function of spread change. But my value in ...
63 views

### How to calculate Probability of Default from Survival Probability

I would calculate Probability of Default from Survival Probability. I want to know how they are related. This is how I think they are related: ...
62 views

### Asset Liability Management Test Topic Interpretation

I will write a test based on Excel and one of the topics is "The Asset Liability related analysis: including the input assumptions generation, constraints, portfolio optimization analysis and results ...
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### Impulse Response Function, VAR

I calculated VAR coefficients and got stability coeficients. But then I calculated Impulse Response function and it turned out to be spike-shaped function (like cos(x)*exp(-x) with acute extremuma ...
509 views

### Key rate duration - Bond trading at par

I am reading the CFA L2 curriculum Bond Analysis section and it mentions that for a bond trading at par, the maturity-matched rate is the only rate that affects the bond's value and therefore the key ...
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### How do I track implied volatility of specific delta?

I'm a newbie with respects to volatility trading and options. I recently purchased a book on the topic called "Trading Implied Volatility -An introduction" by Simon Gleadall. It's been one of the most ...
147 views

### What is the best real time data feed - IQFeed, kinetick.com, etc?

This is my first post, and I know of quant's vast knowledge base of the users. Thanks in advance for any assistance. Any quantitative testing, benchmarking, expected lag, true numbers comparing all ...
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### discounted price economic meaning

Could you please explain why we discount the prices using bank account or some numeraire, what is its economic meaning. Specifically The movement of the security prices relative to each other ...
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### Cost of carry for posting bonds as collateral

Cost of carry for posting bonds as collateral How do you calculate cost of carry for posting bonds as collateral?
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### Interpretation of Cointegration results, pValues and t-Stat

This is a follow up to: Cointegration results interpretation validation? I ran another Engel Granger Test on a pair, The results I get: ...
42 views

### What interest rate dynamics would you suggest to simulate a single swap?

I need to calculate the Potential Future Exposure (PFE) for a single swap (not a portfolio). As far as I know, a stochastic model is needed to simulate the interest rate curves (from here). Could ...
54 views

### Is the Volatility of the Fx Inverse process same as Fx

Let St = Fx and St(Inverse) = 1/Fx. Do both of these have same volatility and if so how would you prove it?
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### Foreclosure Implications on CMO Cash Flows

I have a simple homework project where I am to create some models to value a CMO. Please make any simplifying assumptions necessary to provide an answer. Prepayment is simple to account for. This ...
38 views

### Web Based Market Profile Code

I am looking for someone who knows of or has access to web based charting code using Market Profile. Does this exist out there? I would prefer the source code so I can make changes to it. Any ...
36 views

### volatility grouping

I was working on risk levels of a combined portolfio (includes options,futures as well as stock). While using greeks we can asses some value of a portolio, but when one needs to assess some kind of ...
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### Sample long/short portfolio profit and loss template

Does anyone have a suggestion of where I might be able to find a profit and loss template for a long/short equity portfolio? Thank you in advance.
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### Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing options

The asset-or-nothing European option pays at t = T the value of the stock when at time T that value exceeds or is equal to the exercise price E, and nothing if the value of the stock is below E. So, ...
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### What is the intuition behind the relationship between herding and trade (or investment) size?

I am studying herding behavior among investors, in particular I found a u-shaped relationship between herding and trade (or investment) size. As such, traders with the smallest or the largest trades ...
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### How to calculate intraday implied vol on the last day of trading an OTM option

i've been trading globex options on US Treasury futures, but my option calculator only takes the date as the time input..so on the last trading day, the model assumes all values are errors because the ...
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### CFD on warrants or options?

I'm looking for CFD-type contracts based off warrants or ETO prices; does such a thing exist? I'm interested in Asian markets; Hong Kong, Singapore, Japan.
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### Standardizing SEC XBRL Reports into common format

I'd like to grab SEC XBRL 10-Q's from various companies and standardize/summarize their content to be able to run common analysis. But it looks like different companies use different elements, making ...
139 views

### Share Repurchase and Bid ask Spread data

I am doing a Quantitative Finance PhD and would like some insight on data collection. I'm looking for open market share repurchase data (UK) over the past 2-3 decades. Simultaneously, their bid-ask ...
59 views

### How to calculate cash flow for XC swap

Given 3MLibor vs 12MLibor USD basis swap the 3M Libor is exchanged at 12MLibor+1%. How to calculate the cash flow