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 Nov 22 comment Calculating portfolio VaR for (custom) leveraged products Thanks for the link. The assets I am trading are equity, equity indices, commodities and forex. I suspect that for equity (and equity indices), I can model returns using a GBM model?. Regarding implementing f(x), I'm not sure I understand what you mean - could you please clarify what further information you require? Nov 22 comment Calculating portfolio VaR for (custom) leveraged products Thanks for the answer. I could do with a little more detail however. In particular, I am not sure which model to use to generate future returns - a suggestion would be helpful. Additionally, I am not sure how to implement f(x). Please clarify. Nov 20 comment Calculating portfolio VaR for (custom) leveraged products @BobJansen: My MC fu is a bit rusty. Could you outline the main steps involved if I decide to go the MC route?. I may implement the functionality in a C++ shared library, which I would then use via Excel. Nov 20 asked Calculating portfolio VaR for (custom) leveraged products Oct 24 awarded Popular Question Aug 31 awarded Commentator Aug 31 comment Is there any evidence that an option delta approximates ITM expiry probability? Thanks for the clarification. I do recall my maths professor talking about the change of numaire under a R.N measure. Divergence between theory and practise again - I guess a lot of straddle traders are sitting on a time bomb :/. As an aside, its could you explain the first integral? I have not encountered it before. I can understand integrating asset price from K to +inf but it is not clear why you are 'weighting' the probabilities by 1. Also, I don't see how this gives us the delta (sorry, been a while since I took calculus ;) ) Aug 31 asked Multi asset option portfolio risk management (greeks and FX exposure) Aug 31 asked Is there any evidence that an option delta approximates ITM expiry probability? Jul 31 accepted How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices? Jul 30 revised Interpreting QuantLlib implied volatility numbers added 58 characters in body Jul 30 asked Interpreting QuantLlib implied volatility numbers May 27 revised Historical volatility from close prices (Haug pg 166) deleted 229 characters in body May 27 asked Historical volatility from close prices (Haug pg 166) May 10 comment VaR implementation using quantlib? +1 for the link. I'll download it and take a look at it for some ideas. As an aside, our portfolios are largely non-linear, we trade options almost exclusively, but I hope your codebase could be a useful starting point. Thanks May 7 accepted VaR implementation using quantlib? May 7 comment VaR implementation using quantlib? We already have a curves defined within our system, so as much as possible, I would like to reuse that. My initial thought is to use quantlib for the pricing. I'll take a look at the link you posted and see if it generates any further ideas. Thanks for your input. May 4 comment VaR implementation using quantlib? @LuigiBallabio: Which list do you recommend - 'users 'or 'dev' for VaR implementation related questions? May 4 comment VaR implementation using quantlib? @LuigiBallabio: re type of VaR: historical simulation VaR. The system is a proprietary (internally developed) one we use for trading. HTH. May 3 asked VaR implementation using quantlib?