# All Questions

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### Source for Normalized File of ETF Holdings [duplicate]

Does anyone know of a source for a data feed containing ETF Holdings for most ETF firms such as Ishares, Proshares, State Street? I know Bloomberg has this info, but I'm looking for a vendor that can ...
6 views

### Finding the price of an option that will be exercised [duplicate]

I am reposting this question because it was originally unclear, and I didn't get the answers I was hoping for. In my finance book I have the following question T-bills currently yield 5.5 percent. ...
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### what data to use to compare the interest rate among different currencies?

Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies. For example, I am interested in compare interest rate in the ...
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### Interpreting Johansen co integration test

I am a little new to econometrics. Please pardon me for this silly question. I was running a Johansen cointegration test on two time series using the econometrics toolbox provided by James LeSage for ...
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### Seeking Advice for Exam FM regarding Derivatives Markets

I am taking Exam FM in a week and I was wondering if I could get any advice from people who have recently passed this exam. How much of the derivatives markets question did show up? I am using the ...
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### How to use the asset covariance matrix for risk analysis in excess returns equation

New here and I have a question that may be very basic but despite my research I cannot connect the dots. I would like to know how to connect the nxn asset covariance matrix for an efficient tangency ...
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### How Commercial Mortgage Backed Securities works?

I recently read some concept about CMBS, and have some questions about it. To make my question clear, here is an example. So say I have a pool of 5 loans that each generate 1000 for 23 months, and ...
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I have a beginner question in credit quantitative modelling. I would like to know how we can derive forward credit spread curve, i.e the counterparty of forward yield curves. Indeed, for deriving a ...
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### How discount TVaR of a put option?

Let say I want to calculate the TVaR of a put option. After I simulated possible outcomes in real-world, how do I discount the outcomes? Is there a difference if I am hedged or not? I tried to use ...
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### Price a put option on a CPPI

I want to price a put option on a CPPI using Monte Carlo. I have found so far this article which prices a call on a CPPI. I was wondering if I could use the put/call parity here, and and if so, how ...
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### Literature on “Risky Risky” Method

Trying to get some information/examples on a method called "risky risky" in the context of equity option/convertible bond valuation.
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### Ornstein-Uhlenbeck / Vasicek and no-arbitrage

I'm working my way through a common question which asks to derive the solution, the mean and the variance to the following Ornstein-Uhlenbeck process: \begin{align} dS_t = (\theta(t) - \beta\,S_t)\,dt ...
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### Create Markets Bubble Indicator

I am trying to replicate a Bubble Indicator described here. The indicator is strictly based on calculating the regularity of price behavior to determine herding in multiple time frames. I tried the ...
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### Use orthogonal decomposition to compute the optimal return for a CARA investor

Question from Back, 5.8. If all returns are joint normally distributed, then $R_p$, $e_p$, and ε are joint normally distributed in the orthogonal decomposition R= $R_p$ + $be_p$ + ε of any return R ...
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### How to optimally hedge construction loans with interest rate swaps?

We are a borrower with a construction loan that is pay floating. At the inception of the loan, we entered into a pay-fixed/receive-floating interest rate swap with a growing notional profile that ...
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### Simulating a GBM with martingale condition - Ito process moving downwards

I want to correctly simulate a $\mathcal{Q}$ - martingale $S$, which is a geometric Brownian motion and an exponential of a process $X$, X_t = X_0 + \mu t + \sigma B_t = X_{t-\Delta ...
23 views

### Leverage and point value

can I ask you what do leverage and point value mean in case of stock indices (here is the link where it is mentioned: https://www.dukascopy.com/swiss/english/cfd/range-of-markets/)?
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### Daily principal payments, accumulated on yearly basis in excel

I am doing something seemingly quite easy: Prinipal calcuation of a loan. I need to calculate daily principal payments and accumulate it on a yearly basis. So my current implementation look like ...
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### Impact of Implied skew variations on future prices

I want to test the relationship between of the oil implied volatility skew and oil future prices. I'm lost regarding the method to test the relationship. I was thinking about a regression but I'm ...
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### CAPM Model Required Return Calculations

In a CAPM model how would one calculate p given sigma, beta, and required return? How would one calculate beta given sigma and p. and how would one calculate required return only given sigma and p?
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### Java Implied Volatility Solving with Newtons Method

Hi I am currently working on implementing my newtons method to guess implied volatility and I have the same code as you do. However, my vol result goes to infinity and I have not figured out why my ...
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### Most-efficient/effective Incentive Scheme Design to Minimize Loan Default Probability

Here is an open-ended, hypothetical question regarding the optimization of a loan incentive scheme. Any and all suggestions/plans are welcome. Please ask any clarifying questions if you wish: A loan ...
58 views

### is there a limit on how many times i can access fxcm xml feed

i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ...
49 views

### possible to estimate if hard-to-borrow?

I'm building a low frequency US equity stat arb system. On any given day the system is long ~100 stocks and short ~100 stocks. It trades once a day at the open, and on average 4/5 of the portfolio ...
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### How do I find the Sharpe Ratio?

Suppose I'm given two assets, x0, x1 and the stochastic discount factor m. How do I find m_p, then use it to compute Sharpe(R_p)? Any help is greatly appreciated.
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### Estimating the next tick movement in Chinese markets

I'm working on high frequency trading in the Chinese Futures market and I've been having a bit of trouble with getting orders to go through due to the lack of liquidity and large fluctuations. To ...
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### Active or Passive strategy?

From my reading, passive portfoliomanagement means to replicate an index, active portfoliomanagement means to deviate from an index. Does that mean that e.g. rules-based investing is actually an ...
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### Alternatives to CDSs for default term structure?

The CDS market seems to be drying up, funding&liquidity issues are now prevalent over credit, so other sources for default probabilities are needed. What else is commonly used to obtain a ...
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### Cross-post on the prediction mean squared error of a model

In accordance with what discussed in the meta here I am cross-posting this question from cross-validated. Suppose my model is $y_t = \alpha + \beta t + \epsilon_t$ the l-step-ahead prediction is ...
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### Consumer (Borrowers and Lenders) risk free curve

I was thinking about this topic: how to construct a "risk free" curve for the generic consumer. Imagine we want to price a debt security done by a private, lended by another private (say, normal ...
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### SRRI calculation for absolute return funds

I am trying to understand the formula for calculating SRRI for absolute return funds described in ESMA's guideline CESR/10-673, and Richard's answer has been of great help (What does this formula (to ...
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### How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel

Konno proposed a LP method for portfolio optimization using the Mean Absolute Deviation (MAD)
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### What is reliable data source for long term and short term capital gain distribution for funds?

The only source where I can find how the capital gains given out by funds is separated into long term and short term distribution is http://quotes.morningstar.com/fund/aqrix/f?t=AQRIX. It seems weird ...
41 views

### Exponential weighting of returns

I am looking for a procedure to compute an exponential weighting of returns given a half life parameter. I ran accross a wikipedia article, can I take it unchanged an assume N(t) is the return at ...
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### Do you include negative changes in Working Capital in an uFCFF analysis?

I am running a uFCFF analysis for two different scenarios. In one scenario working capital goes down. Do I include this negative number in the "Change in WC" line? Wouldn't this represent that I am ...
36 views

### Stochastic Volatility in current market environment

Some price exotics with stochastic vol, some use other models such as local vol. What is the impact/advantage/disadvantage of using stochastic volatility in the current market environment? In other ...
49 views

### Are “American” option strategies traded OTC?

Is there such a thing as an American butterfly spread? For a European butterfly spread simply buying 1 put with strike price X+a, 1 put with strike price X-a and shorting 2 calls with strike price X, ...
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### How to implement an Interest rate neutral strategy using options?

Intuitively one would think that investing equal amounts in an ETF such as TLT and an short ETF such as TBF (with some factor for the interest rate payout of the long fund) should result in a interest ...
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### Correction factors for volatilities of smoothed returns

In An Introduction to High Frequency Finance (http://www.amazon.ca/Introduction-High-Frequency-Finance-Ramazan-Gen%C3%A7ay/dp/0122796713), the authors (on page 253) build a tick-frequency volatility ...
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### Will a back month leg in call calendar lose value if underlying goes down

If I buy a call calendar and underlying drops 5%, the front month short call will get further out of money and will lose value, resulting in a gain since I am short the front month option. What about ...
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### Exercise 2.2 from the book “The concept and practice of Mathematical Finance”

I am a newbie. Please help me understand how to resolve the exercise 2.2 from the book "The concept and practice of Mathematical Finance". The solution from the book says that our super-replicating ...
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### Why does the OTM call sometimes have a higher theta than the ATM call?

In this AAPL option chain on Mar20 call options, the OTM calls have a slightly higher theta than the ATM calls. Why is this? Is not time value(and thereby time decay) supposed to be highest for ...
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### Amortizing Bond QuantLibXL

I would ask if anybody knows how to do get the NPV of an amortizing bond with QuantLibXL in the most automated way. I found some solutions but are very close to a manual calc, say, pass the vector of ...
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### Will implied volatilities rise by same amount across time and across strikes in lieu of an earnings report or a news event

It is said that implied volatility of an option rises leading up to an earnings report or a pending news event like FDA trial, a possible takeover,elections(?) etc. My question is, implied volatility ...
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### Reducing multicollinearity in Arbitrage Pricing model

I am working on a test example where the idea is to come up with a model that predicts S&P500 returns using the 9 S&P subsectors(XLY,XLP,XLF,etc) as FACTORS.Now i know there exists ...
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### Calculating the optimal portfolio for an investor with quadratic utility

The problem is from Asset Pricing and Portfolio Theory by Back and can be found here. The relevant info from section 2.5 can be found here. Given that we have the Expected value and the variance of ...
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### Self-financing strategy in the Hull-White bond model

I am having troubles with solving a particular problem concerning the self-financing portfolio in the Hull-White model (dr={phi(t)-ar}dt+sigmadW). Consider an expiry-T_0, Strike-K cll-option on a ...
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### Finding optimal ewma and number of periods usedas features in a time series regression

I am using an exponential moving average (ema) to smooth the return of a price time series. I then want to use the last n periods (features) as the independent variables of the time series to predict ...
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### Adjusting simple volatitly for a VaR calc

I'm reviewing a VaR estimate adjusting a simple annualized volatility to an unwind period of x days - in this case for an equity position, using the following formula for a given annual volatility : ...
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Suppose that you have a portfolio whose composition is uncertain. If you regress the portfolio returns on known factors (e.g., Fama-French 3-factor), can you use the loadings to determine (in general) ...

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