5
votes
1answer
76 views

FTAP a-la Harrison, Kreps and Pliska

I was reading the papers co-authored by Harrison, Kreps and Pliska, that initiated the formal research on the connection between pricing, martingale measures, arbitrage and completeness. I have some ...
0
votes
1answer
7 views

Spread over LIBOR on a Equity Swap

Does anyone how banks determine the spread over LIBOR on a Equity Swap? Example: Party A pays the return on SPTR to Party B Party B pays 1M LIBOR + 40 bps to Party A Does anyone know how the 40 ...
0
votes
1answer
23 views

Where to obtain Eurex level 2 historical order book data from?

What are some possible sources to obtain Eurex level 2 historical order book data from? Unfortunately I have only been able to find 1 source - namely Eurex itself, which charges 2000 Euro/month for ...
1
vote
1answer
240 views

How to interpret ACF and PACF plots

I just want to check that I am interpreting the ACF and PACF plots correctly: The data corresponds to the errors generated between the actual data points and the estimates generated using an ...
9
votes
7answers
5k views

Except Zipline, are there any other Pythonic algorithmic trading library I can choose?

Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?
7
votes
2answers
2k views

Worked examples of applying Ito's lemma

In most textbooks Ito's lemma is derived (on different levels of technicality depending on the intended audience) and then only the classic examples of Geometric Brownian motion and the Black-Scholes ...
0
votes
0answers
31 views

The future language of quant programming?

Im just about to begin the programming aspect of my education towards being a Quant. I know what languages are currently being used and how popular they are. However, I have several good friends ...
0
votes
0answers
7 views

How to manage risk on a call calendar when underlying is falling

Let us say I bough a call calendar spread. Now, at expiry of the short option, the underlying has decreased significantly, and I am approaching my max loss(i.e both the options are close to 0). In ...
-1
votes
0answers
11 views

What is the purpose of doing MTM and Cross Currency Swaps?

Both the trades are cross currency, however in MTM one leg is constant and other is variable. But what might the reason for exchanging cash flows into two different currencies? Could someone please ...
0
votes
0answers
16 views

Why theta multipled by days to expiry exceeds the total time premium of the option

Sometimes, I find an option where the total time value of the option may be 5 cents(rest is intrinsic value) and there are about 15 days to expiry and theta is .08 (8 cents). How is this possible. If ...
1
vote
2answers
24 views

Technical Indicators reference

I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ...
1
vote
0answers
6 views

Using Forward Equity Returns to Value Stream of Equity Return Cash Flows

Can I value the equity leg of an equity swap using the projected forward equity returns? In other words, for a sequence of times $t_{0}<t_{1}<\ldots<t_{n}$, where $t_{0}$ begins a brand new ...
5
votes
1answer
420 views

Demonstration of Ito's correction term/lemma in binomial tree

I am preparing an undergraduate QuantFinance lecture. I want to demonstrate the ideas of Ito's correction term and Ito's lemma in the most accessible manner. My idea is to take the "working horse" of ...
0
votes
0answers
9 views

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 ...
5
votes
3answers
257 views

Platform for Quantitative equity portfolio

What are the most popular platforms used for quantitative equity portfolio management/research? I've only used Barra so far for their factor models. Is there any specific feature or model you think ...
0
votes
0answers
16 views

Cointegration example

Does anyone know where to find an example of implementing Engle-Granger 2-step cointegration? Python's ideal, but any language will do. I've skimmed and read many articles, but understand little about ...
3
votes
1answer
295 views

Inflation-Linked Bonds & Asset Swap Spreads

I am trying to plot the asset swap spreads of government inflation-linked bonds (ILBs) versus the asset swap spread of government nominal (plain-vanilla) reference bonds. I used the article in the ...
1
vote
1answer
26 views

How to get Multivariate Betas from an Estimated EWMA co variance Matrix?

I have a portfolio of 4 assets. I also have returns for 3 indices. I want to get the multivariate betas for these 4 assets-based on these assets. I only have the 7 x 7 covariance matrix estimated by a ...
2
votes
1answer
166 views

Text book or distilled guide to market making?

Are there any practical articles, blogs or books that describe common practices in market making and how to calculate and use common measures? The majority of the information I found are research ...
2
votes
2answers
34 views

How to simulate a CIR process using GPU and Matlab

I am trying to simulate a CIR process using Matlab and my GPU for effeciency. At the moment i run into some implementation problems due to the recursive nature of the discretization. The sheme I ...
3
votes
2answers
106 views

correlation for portfolio of stocks

I have a portfolio of stocks and all I want to do is to make sure that I'm not trading one big position, so I would like to monitor some type of metric that gives me a rough idea of what the overall ...
0
votes
1answer
80 views

Why does expected price of OTM option not equal to BS price?

If I assume that stock returns follow normal distribution with drift = 0% and S.D. = 10%. In the long, if I keep investing in this stock for a year with the same capital every year for a consecutive ...
2
votes
0answers
38 views

Is it too important that my residuals be normal? I am Using an ARMA/GARCH model

I am trying to fit an ARMA/GARCH model to a time series. I found that the best candidate is an ARMA(1,0) + GARCH(1,1) with gaussian white noise It has coefficients with p-values near cero and the ...
2
votes
1answer
34 views

Question about historical volatility ranking

I have seen this strategy example, which uses garch in a regime switching context: https://systematicinvestor.wordpress.com/2012/01/06/trading-using-garch-volatility-forecast/ The author classifies ...
0
votes
1answer
20 views

Effective & Maturity Date Modified Following

I am constructing discount curve for tenor 1 month. First Instrument - PLN_1M_WIBOR has Effective Date on 2015-01-29 (spot). I was wondering what Maturity Date should be? 2015-02-27 or 2015-03-02? I ...
0
votes
1answer
26 views

Forward Curves and Par Yield Curves

I'm recently reading a research paper on the yield curve by Salomon brothers and in it it states that when the forward curve is above the par yield curve, it is seen as cheaper. If for example, the ...
3
votes
2answers
175 views

Does higher vega imply higher IV and vice versa

If an option A has higher vega than option B, does that also mean that A has a higher IV than B? I understand that by definition, a higher vega means that A's price is more sensitive to its IV than B. ...
2
votes
1answer
39 views

If an option went down in value, how much is due to theta decay and how much due to fall in IV

Let us say that there was a stock trading at 100 and the 105 call was trading at 3 $. with 1 month to go Now stock went up to 104 after 15 days, and the call dropped to 2.80 $, to the call buyer's ...
2
votes
1answer
56 views

How to estimate CVA by valuing a CDS of the counterparty?

I'm trying to estimate CVA of one of my derivatives by valuing a credit default swap (CDS) of my counterparty. However, I don't know how to set up the CDS deal (notional amount, maturity, etc.). ...
0
votes
1answer
24 views

Pricing of a call option in one period binomial model

You are given a $5\%$ call option worth $\$2.66$. The strike price $k$ is $\$41.00$. $S(0)=40$, $Sd=35$ (i.e the lower price of the stock at $t=1$) find $Su$ (i.e the high price of the stock at ...
0
votes
0answers
11 views

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 ...
0
votes
1answer
49 views

Equity Chart - design and granularity

I am looking to build a web based Equity chart to display performance of FX trading strategies. I would like to hear opinions and advice on a few areas that I am unsure about. Granularity Equity ...
1
vote
1answer
12 views

Are CME security id's unique and constant over time?

For any given day, CME security IDs are unique - a number will always refer to a single product. Are they unique over time as well? That is, might a new security have a security id that used to be ...
3
votes
2answers
189 views

What is the yield on an infinitely lived ZCB?

I guess the price of a Zero-Coupon Bond with infinite maturity should go to zero, what about its yield? I am asking this because I was dealing with the yield curve and its asymptotic properties when ...
1
vote
1answer
21 views

What is the strike of a short put that mimics a covered call

If I am long a stock $X$ which I purchased at $\$100$ and sold a covered call in the front month with strike $\$105$ for $\$2$ then is it true that the covered call is equivalent to a naked put at ...
1
vote
0answers
17 views

Please recommend a book regarding Monte Carlo simulation in OAS

I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the ...
4
votes
1answer
69 views

How to approximate the time to mean reversion for implied volatility

Given an option and its implied volatility, and also the mean value of the implied volatility over the last 30 days, if we find that the current IV is significantly (> 1 std dev.) away from the mean, ...
1
vote
1answer
28 views

Desperate for help with simple derivative

Can someone help explain how differentiating the following with respect to $x$: $$ \frac{1}{2} \alpha \mathbf{x}^T \Sigma \mathbf{x} + (\mathbf{\mu} - R\mathbf{1})\mathbf{x} $$ Yields the following: ...
1
vote
2answers
48 views

Why a calendar spread is a preferred strategy in a low volatility period

What is it about a calendar spreadas opposed to other spreads(e.g vertical spread) that makes it such a popular strategy for a period of low implied volatility? Is it that when low volatility turns ...
1
vote
1answer
264 views

Excel to Java for Interactive brokers

I have a working excel workbook connected to Interactive brokers DDE API. I am struggling to upgrade to a more robust environment like Java. I tried to change it to ActiveX for Excel but the ...
1
vote
1answer
32 views

Stock Returns Distribution in Heston Model

There is a paper by Dragulescu and Yakovenko (DY) in 2002 proposing a pdf for the stock returns in the Heston model. However, in a paper by Daniel, Bree and Joseph, they actually perform statistical ...
4
votes
1answer
206 views

How to compute greeks using the adjoint Monte Carlo approach?

Assume I have a stochastic ODE $$dS = a(S)dt + b(S)dW,$$ with Euler approximation $$\hat{S}_{n+1}=F_n(\hat{S}_n)=\hat{S}_n+a(\hat{S}_n)h+b(\hat{S}_n)Z_n\sqrt{h}.$$ This allows me to create sample ...
1
vote
1answer
37 views

Why implied volatility is less for the back month option even though the back month option is more expensive

Why is the implied volatility of this option at the ATM strike (18$) greater in the front month (March) than in a further month (Oct). The Oct month has 43%, but the front month has 54%. Should not ...
0
votes
0answers
10 views

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 ...
0
votes
1answer
18 views

How do I get access to multiple clothing stores data feed or API's? [on hold]

I am creating an app that will rely on gaining access to several clothing companies data feeds or api's and am wondering what the best way for me to do this is? Do I pay for someone to do this for me? ...
1
vote
1answer
22 views

Does an Interest Rate Swap has a Vega component?

I am a bit confused on how you calculate vega for Interest Rate Swap. One argument is that IR Swap is a combination of fixed rate bond and floating rate bond. Since a bond has no vega component, IR ...
-1
votes
1answer
34 views

Which free C++ compiler is best for preparing for the quant workplace? [on hold]

I want to improve my C++ skills at home in order to prepare for the quant workplace (probably bank derivatives operation or model validation). Is Visual Studio the most predominant in this area? ...
4
votes
3answers
127 views

Why is Brownian motion merely 'almost surely' continuous?

Why is Brownian motion required to be merely almost surely continuous instead of continuous? For example, this is stated as condition 2 in this article in section 1, Characterizations of the Wiener ...
2
votes
1answer
40 views

Markowitz Mean-Variance Implied Returns

What is the closed form solution for the following inverse Markowitz problem? Given a mean-variance optimized fully invested portfolio $X$, a risk aversion parameter $\lambda$ and a var-covar ...
0
votes
5answers
354 views

API-based equity screeners?

I know there are APIs from different brokers that allows you to trade and also obtain information about specific companies, but I wonder if there are equity/asset screeners that are API-based and can ...

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