# All Questions

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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 ...
18 views

### Is it possible for two securities to have the same first 8 characters of a cusip, but differ in the check sum?

CUSIP is a 9 character long identifier. The last digit is a check sum checking the first 8 previous characters. This seems to me that it is not possible for two securities to have the same 8 ...
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### Calculation of Returns and Risk Metrics for L/S Portfolio

I am trying to build a test for a long/short portfolio. I am aiming for market neutral and have put together a long portfolio as well as a short portfolio (see below). However, I am not sure if I am ...
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### 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 ...
31 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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### FX Delta Conventions

I'm currently reading Iain Clark's book Foreign Exchange Option Pricing and I got stuck at one sentence in the beginning of Section 3.3 that I feel is important to understand. He writes: FX ...
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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.
18 views

### Mortgage parameters

I'm looking for readings about the trade-off between the parameters of a mortgage: length of the mortgage, percentage of the principal to repay, inflation rate (at which the payment growths) and total ...
25 views

### 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 ...
36 views

### GARCH parameters

I'm trying to estimate parameters of GARCH(p,q) model. I tried p=1, q=1 with t-distribution errors. Ljung-Box showed no correlation in residuals and squared residual. But the null hypothesis that ...
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### Where can I find an historical data source for Fixed Income instruments?

We would like to find a data source for fixed income instruments. The information we would like is: Issuer Credit rating Terms Price The information needs to be available over a period, for ...
23 views

### How to prove following order?

Consider a consol bond, i.e. a bond which will forever pay one unit of cash at $t = 1, 2, . . ..$ Suppose that the market yield $y$ is constant for all maturities. (a) Compute the price, at $t = 0$, ...
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### Distribution of the differences of the inverse of the integral of a Gaussian Distribution

I have a time series, $P$, undergoing geometric Brownian motion, which varies between $1$ and $1000$. I difference it $P(t) - P(t-1)$ and can see the differences are distributed according to a ...
25 views

### Where to find agent-based software for the stock-market?

I am looking for game theory agent-based software to run simulations of the stock market. Ideally it would be a software where i could manipulate the variables and possible the underlying assumtions ...
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### Index tracker and inflation

I'm trying to get my head around how inflation really affects index trackers. I've been looking at this question, but somehow misses the point I want (How To Account For Inflation Over Historical ...
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### simple question on DSCR

What is the DSCR for a 2.5 million property generating a 7.5% before tax annual return on equity with a 1.5 million ten year interest-only first mortgage at a 5% annual interest rate? a) 2.00 b) ...
38 views

### risk report factor exposures calculations

I am looking at a risk report which I have inherited. There are 5 lines of code that I want to make sure I understand. The risk report breaks down the exposures, contribution to variance and marginal ...
17 views

### Historical list of Primary Dealers in Europe

I would be interested in a list of all the banks and financial institutions that have been Primary Dealers in the European Union from the 1980s until today. For a current list you can check this pdf ...
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### Advancers / Decliners data source

What is the best source for this data? I am trying to compute http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:mcclellan_summation in Python.
23 views

### Dummy variable and negative estimation in GARCH (1.1)

I am trying to use GARCH model for my research. However, when I am running them, I see negative value for alpha and beta. How I can restrict them so that they do not provide me any negative value. Is ...
31 views

### European style average price option Delta

I use a numerical method to calculate the value and Greeks of an European style average price option, e.g., with a given volatility, I simulate 1000 random walk price paths find the average value ...
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### Vanna-Volga method to infer vol surface with just few realtime tick data

My broker gives me the opportunity to get realtime tick data for up to 50 fields. Since I would like to monitor option chains, this amount of data is very limited. Suppose I am interested in ...
16 views

### Residual maturity vol

The following question is probably (from a practical point of view) more relevant for EM markets which typically exhibit a more pronounced forward volatility compared to spot volatility. Say I buy a ...
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### Pricing defaultable binary option with hazard rate approach

I'm studying defaultable claims and asked myself how to price a digital payoff. Consider an option paying $1$ at maturity in case of non-default before maturity and if a given underlying process $S$ ...
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### Option platforms providing eurex products

I search an option platform providing eurex products as eurostoxx 50. Can you advice me some platforms ? Thank you in advance for your answer Julien
69 views

### How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?

The Black Derman & Toy (BDT) model is given by $$d(\ln\,r)=\left(\theta(t)-\frac {d(\ln\sigma(t))}{dt}\ln r\right)\,dt+\sigma(t) \, dW.$$ How can one rewrite the BDT model as $dr=A\,dt+B\, dW$, ...
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### How to calculate returns of backtested strategy?

Lets say I have some strategy (long/short) backtested for certain period. Strategy has entries/exits only at the end of the day and may have overnight positions hold. Now I would like to compare ...
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### Pricing inflation lags

I've been looking into a short piece of maths I found on pricing inflation with payment delays, and was hoping someone could confirm whether my understanding was correct or if the maths isn't quite ...
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### Calculating the efficient frontier from expected returns and SD

I'm trying to calculate the efficient frontier (and the optimal portfolio at the Sharpe ratio) given two vectors for a portfolio: (1) expected returns and (2) historical standard deviations. I would ...
29 views

### Duration calculation for perpetuity with continuous compounding

Let's say we have a continuously compounded perpetuity. Does macaulay duration = modified duration? I've read from wikipedia for Bond Duration that macaulay duration = modified duration for ...
19 views

### Incompatibility of Lognormal Forward Model (LMM\BGM) and Lognormal Swap Model

In his paper On the distributional distance between the Libor and the Swap market models (and also in his book about IR modeling) D.Brigo says: 10, 11, 12 are defined in the end of message. Do I ...
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I'm curious whether anybody has any experience with using trend lines drawn using data which is vs isn't adjusted for dividends. For periods of sideways trading that give roughly horizontal ...
9 views

### Source on pricing / valuation of trust preferred securities?

Is there a good source on pricing / valuation of trust preferred securities? I used GOOGLE, GOOGLE SCHOLAR and NEW YORK PUBLIC LIBRARY, but the results were meager. Found book Handbook of Hybrid ...
26 views

### Variance of “hedged” term structure portfolio increasing?

I'm attempting to use PCA to hedge a small fixed income portfolio. I start with one particular bond and chose the nearest other bond to hedge the 1st principle component. This decreases the portfolio ...
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### garchOxFit in R-oxo file does not match

Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: ...
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### Transform MPT optimization problem

I am trying to teach myself about MPT and optimization. I understand that MPT solutions can be found using three equivalent optimization problems: Minimizing variance for given return limit ...
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### Institutional compliance : is reference data available via the browser?

That is, assuming one has the correct accounts and credentials, is it possible to access reference data (counterparty, trading, and other categories of related meta-data) over the web? The reason I ...
23 views

### Value of a portfolio with a collar option and shares as function of a log return …?

I could use some help with a question I've been stuck with. It's stated as follows, A private investor owns a large quantity of shares of a single stock and is worried about the position being too ...
56 views

### How to reduce fx currency pairs ? PCA or other tools?

I have 19 currency pairs like USD.AUD, USD.CAD, etc. Also 82 cross currency pairs like AUD.CAD, EUR.AUD,EUR.CAD etc. When I look to their graphs, most look similar, so I want to reduce number of pair ...
19 views

### What's the best filter to implement in order to assess the persistency of a FX devaluation?

I'm trying to to analyze the impact of a FX devaluation in companies' exports and earnings?
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### Book chart plotting library identification

can you help me identify how those charts are constructed? To your knowledge, is it generated from Python, R, Java, C++? What packages can you identify? I've tried the ggplot2 library in R and I have ...
24 views

### How to compare the volatility of quarterly p&l of two firms in the same sector?

I want to compare the volatility of the historical quarterly profit and loss data of two or more firms operating in the same sector and determine whether the volatility of p&l of these firms is ...
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### how to determine the Cost of Fund (FTP rate) for Saving Account?

Saving Account are the deposit account that gives customers very low, almost 0%, interest. Currently the calculation of its cost of fund is, in a simplified way: assume a deposit duration, e.g. 1 ...
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### Bloomberg Pricing Sources: TRAC vs. BGN vs. BVAL etc

Sorry, I'm very new to using Bloomberg as a tool, so please forgive the naïve question. I couldn't find much information after some cursory online searches, so I figured I'd ask here. Particularly ...