5
votes
2answers
1k views

How to calculate a forward-starting swap with forward equations?

I have been trying to resolve this problem for some time but I cannot get the correct answer. The problem is the following one. Compute the initial value of a forward-starting swap that begins at ...
0
votes
0answers
4 views

Explain Present Value and Future Value for cash flow streams

Please help me understand the concept of Future Value and Present Value for stream of cash flow in an intuitive way. I have tried a lot of resources on the internet, but I find their explanation a bit ...
0
votes
1answer
66 views

Pricing foreign currency bonds - which approach is more theoretically “sound”?

You own a fixed rate corporate bond in foreign currency (let's say JPY). Your domestic currency is USD. Which of the these two approaches do you consider theoretically better? Discount JPY cash ...
0
votes
0answers
11 views

Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate$P(B_t>0,B_s<0)$?

As stated, this is an interview questons Given Brownian motion $B_t,B_s$ and $t>s$, how to calculate$P(B_t>0,B_s<0)$?
0
votes
1answer
13 views

Mix of Arithmetic and Geometric Brownian Motion

Talking with some traders the other day, I found out that they were using a pricing model based on a mix between a geometric brownian motion and an arithmetic brownian motion to price certain ...
0
votes
0answers
8 views

Mutual Fund Holdings

Several free and non-free data providers provide mutual fund holdings (e.g. Google and Yahoo give the top holdings). The primary sources, I think, are the filings submitted to SEC's EDGAR. Both the ...
2
votes
1answer
50 views

Move along, nothing to see here…just a super cheap stock price for an instant?

Can someone explain what this large negative spike in this stock chart is in after-hours trading? It almost looks like a data glitch to me, since the value before and after the spike are almost ...
1
vote
1answer
78 views

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 ...
1
vote
0answers
12 views

Theoretical price of bond : utility

Why should one calculate the theoretical price of bond if there is already a market quote ?
0
votes
0answers
12 views

Swaptions to calculate swap exposure for CVA

I am looking at using the swaption method to calculate the EPE and ENE on a swap over its life, to use in CVA/DVA calculations. I have a number of questions, how well does this method work in ...
0
votes
0answers
30 views

Why does a barbell portfolio have higher convexity than a bullet porfolio

I cannot quite understood absolutely why a barbell portfolio has higher convexity than a bullet porfolio. I can easily understand how the parallel line represents duration but I cannot see what ...
1
vote
1answer
57 views

Log-normal Volatility Approximation

In a comment to this question, it is mentioned that, under the log-normal distribution, \begin{align*} vol(k) \approx vol(atm) \times \sqrt{\frac{atm}{k}}. \end{align*} Here, $k$ is the strike, $atm$ ...
0
votes
0answers
19 views

Calibration: comparing models

Exponential Lévy models fall in two main categories: jump diffusion models and infinite activity Lévy models. For my paper, I study jump diffusion models and in particular Merton's model (i.e normall ...
0
votes
1answer
16 views

how to convert quarterly data to monthly

Is there any way to convert quarterly data to monthly in excel or preferably in STATA? I Next to that, how can I transform dates in excel so as to be recognized by STATA?
1
vote
3answers
190 views

accuracy of Yahoo Finance stock data (Python module)

I am using the yahoo finance python module: https://pypi.python.org/pypi/yahoo-finance I am using it for a project and would like to see if anybody else uses data from this source and can vouch for ...
1
vote
0answers
12 views

Forex Market Timezones

I need to store OHLC data from the Forex Market. I live in the UK which is presently in British Summer Time +1. The Forex Market EST, which is normally -5 from GMT. I'm not sure how Eastern ...
6
votes
2answers
124 views

The Relation Between the Ricci flow and the Black-Scholes-Merton Equation

Grisha Perelman once wrote that The Ricci-flow equation, a type of heat equation, is a distant relative of the Black-Scholes equation that bond traders around the world use to price stock and ...
1
vote
2answers
66 views

Sharpe Ratio and your annualization

My question is related on this How to annualize Sharpe Ratio? but is a bit different. Under assumpion of IID returns, if excess return is positive, the SR increase over time horizon, with factor $\...
0
votes
0answers
11 views

VAR FPCA analysis paper replication

I've been trying to replicate the following publication: toronto.edu/sjaimung/papers/VAR-FPCA.pdf but i havent been able to get the same results estimating the $\beta_{k}$ parameters. First, I got ...
0
votes
2answers
109 views

How Much cost to setup trading platform such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?

Basically if someone want to setup a hedge fund how much cost to buy trading software such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?
-2
votes
0answers
17 views

How to know if a company actually deposit money into your credit card [on hold]

I took a cruise trip. They are supposed to give some cash back. I called them, they said the money was deposited into my credit card. I didn't see it in my credit card bill. So what can I do if they ...
1
vote
2answers
54 views

FTAP wih Heston Model

The Fundamental Theorem of Asset Pricing (FTAP) is invoked when we say the time $0$ price of a European option with payoff $g$ is $e^{-rT}E_Q(g(S_T))$, with the hypothesis that $e^{-rt}S_t$ is a $Q$-...
1
vote
1answer
121 views

What is Toxic FX Flow debate!

So, basically i want to debate and find out the real reason behind being flag by ECNs and venues as "toxic". How to avoid being flag? What kind of strategies are toxic and why? Below is an article ...
1
vote
1answer
21 views

Fama-Macbeth regression in Eviews

I'm adding a new factor to Fama-French three-factor model. I have constructed portfolios and got 18 three-way sorted portfolios. Now, I think I have to do Macbeth procedure to test the model. I'm ...
0
votes
2answers
40 views

Triangular arbitrage formula error

I am struggling with a formula for calculating the above. I have been using the following example: https://www.youtube.com/watch?v=lKu2LAgEcpU ...
0
votes
1answer
143 views

SEC 10-Q/K Filings

I am working on some research that requires parsing of SEC 10 K/Q filings. We have built a parser that will parse the raw txt SEC filing that usually contains many blocks of unencoded files (html, xml,...
1
vote
1answer
24 views

Is there a relation between total futures and the amount of production?

I have a multipart question about futures and production. Lets take corn as an example. We add up the total 1 year futures of corn, call this weight $A$ kg. Next, we can get a reasonable estimate of ...
0
votes
2answers
26 views

Calculating the interest rate from a EuroDollar Futues contract

I would like to calculate the interest rate from a EuroDollar Future Contract(say the Sep-16 Futures Contract is trading at 99.2575). From the interest rate, I would like to calculate the zero coupon ...
1
vote
1answer
65 views

Papers on temporary price impact

Can anyone recommend papers that model how long temporary price impact last when you buy / sell a trade? This would fall under the TCA realm (Trade Cost Analysis). Thank you.
0
votes
0answers
18 views

Variance Ratio on Currency Pair, Validation

Can somebody tell me if my variance ratio (unit root test) test is correct? I don't want to rely on my results until I can find somebody that also has a variance ratio algo that confirms them? Here is ...
3
votes
1answer
60 views

Predict the financial markets in the fashion of a video game?

DeepMind have demonstrated amazing capabilities of a reinforcement machine learning agent to competently play Atari video games. It is most astounding that that during training nothing more than the ...
1
vote
2answers
56 views

How to apply the CAPM to 6 stocks from different markets?

I would like to apply the capital asset pricing model (CAPM) for selecting proportions of 6 different stocks. In introductory books, the CAPM model assumes that there is one market index (e.g. the S&...
1
vote
1answer
66 views

what is the meaning of the differential of an arbitrary adapted random process?

I was working on the definition of the self-financing portfolio. Say $V=\phi_tS_t+\psi_t A_t$ where $S_t$ and $A_t$ are the stock price and the money market price at time $t$, resp, and $\phi_t$ and $...
0
votes
1answer
31 views

PCA for stand alone equity VaR

I am trying to compute equity VaR, forex VaR and total VaR on an international portfolio (10 stocks x 4 countries). Since I am not interested in the risk disaggregation among diffrent countries I was ...
2
votes
2answers
193 views

SABR Implied Volatility and Option Prices

I am trying to understand the SABR model. Specifically, I am having difficulty to understand how to calibrate the model parameters, that is, initial variance, volatility of variance, exponent for ...
1
vote
3answers
79 views

Downward sloping smile in normal model

We consider an stock price $S$ following a normal model: $dS_t = \sigma dW_t$ We can write this as $\frac{dS_t}{S_t}=\frac{\sigma}{S_t}dW_t$ Hence we can see that $S$ follows a "log-normal" ...
6
votes
4answers
163 views

How do you check your option calculations?

I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial... I'm not really sure how to check my calculations. I tried using QuantLib to ...
1
vote
3answers
119 views

Python everywhere but where do they execute orders?

About every introduction I've read about automatic trading writes about how well python is suited for the task. But looking around, I've been able to find just one brooker, Oanda, which has a python ...
2
votes
1answer
102 views

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: '...
4
votes
1answer
888 views

What happened to the French franc value in August 1969?

I stumbled onto a bit of a mystery. A strange financial blip in a historical database crossed my path and I was wondering if anyone could explain its meaning/cause for me? If this is not the right ...
0
votes
1answer
21 views

Binary Options hedge Forex position

if I am short GBPJPY and it start to jump up, instead of closing it, could I use Binary Options to long it immediately after jump up? So I could hedge current Forex position if possible.
0
votes
1answer
17 views

How to choose the correct ticker for rates?

I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate ...
0
votes
0answers
21 views

Swaption Corridor Payoff Diagram

What does the payoff diagram look like for a long payer swaption corridor? For example, suppose that I am looking at a long-payer $1 \times 10$-year swaption with 10Y swaps as the underlying. If I ...
1
vote
1answer
55 views

How to convert Jensen's Alpha from monthly to quarterly observations

I am being puzzled while calculating jensen's alpha for single stocks. I have monthly returns data and have calculated alpha for each stock on a monthly basis (used 36-month rolling window for beta ...
3
votes
4answers
2k views

Simple value of a Forward contract at an intermediate time question

I am taking "Financial Engineering and Risk Management Part I" from Columbia University on coursera and I got a seemingly simple question wrong on the first quiz. This is all based on the no-arbitrage ...
0
votes
0answers
64 views

EM for conditional Gaussian model

Let $$X_1\sim N(\mu_{X_1},\sigma_{X_2}^2)$$ $$X_2\sim N(\mu_{X_2}, \sigma_{X_2}^2)$$ where $\mu_{X_2}=c+aX_1$. Also, I have data $D$ (with missing values on $X_1,X_2$). How can I update/estimate the ...
5
votes
2answers
172 views

FX forward with stochastic interest rates pricing

I would like to extend the following question about FX Forward rates in stochastic interest rate setup: "Expectation" of a FX Forward We consider a FX process $X_t = X_0 \exp( \int_0^t(r^...
1
vote
0answers
42 views

QuantLib FittedBondDiscountCurve fitResults [Error]

I try to use "FittedBondDiscountCurve" with "NelsonSiegelFitting", but I faced with such problem: ...
0
votes
1answer
50 views

Large trend-followers: why use futures rather than ETFs?

There are a number of large trend-following CTAs that have been successfully running for 10+ years. Their main instrument is diversified futures. Why not ETFs (is it due to liquidity / scaling, costs, ...
6
votes
1answer
180 views

Completeness and Hedging Question

A question in some private notes I'm struggling to work through (exam. prep.). (iii) is where I hit a wall with my understanding & I'm lost thereafter. Any help/clarification gratefully received. ...

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