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 Sep13 comment Modelling currency exchange rates timeseries data across re-denomation dates This is the approach that first occurred to me, but I was waiting to see if someone (possibly, more experienced) would suggest this too. Dec9 comment Securitization of a loan portfolio +1 for the detailed explanation and schematic. Is there a "Securitization 101" type book you could recommend, that explains the technical, no-legal (i.e. modelling aspect) of securitization? Dec5 comment Securitization of a loan portfolio @jeffm: Getting slight of my depth here .. so I'll tell you the end goal, and then hopefully, (you) or someone can tell me how to get there. Given a loan portfolio (consisting of 10ks of smaller sizee loans of different risk classes and tenors), I want to "slice" into larger issue sized bonds with predefined risk ratings and tenors. Ideally too, I'd like to hedge the interest payments against a major (say USD). My question is: what would be the steps involved in this securitization (repackaging of interest receipts)? Dec4 comment Securitization of a loan portfolio @jeffm: Not sure I understand your comment. I already stated that the loan book will be "sliced up" (i.e. diced into tranches) using the three 'attributes' I mentioned in my question. Is there some relevant information you feel I am leaving out? Feb24 comment Taylor series expansion (Volatility Trading book) explanation sought Ok, I finally got it phew. Thanks Feb23 comment Taylor series expansion (Volatility Trading book) explanation sought Thanks. +1 for the effort. I now get the first part of the derivation. I am trying to understand the theta derivation (i.e. derivation wrt time), and how that leads to the final equation presented in 1.3 Nov22 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? Nov22 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. Nov20 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. Aug31 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 ;) ) May10 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 May7 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. May4 comment VaR implementation using quantlib? @LuigiBallabio: Which list do you recommend - 'users 'or 'dev' for VaR implementation related questions? May4 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. Mar4 comment How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices? Thanks for your answer. Its not the smile that I want to calculate (as I mentioned earlier, I am working with only ATM options - so at the most, I am working with two strikes [if the underlying lies between two strikes]). I am looking to find a way to calculate a SINGLE number from the ATM calls and puts (using some kind of weighting). The more I think of it, since I am only dealing with two strikes at the most, a simple linear interpolation will do - although I may probably weight the vols by Open Interest Feb6 comment Calculating log returns using R @PatrickBurns: +1 for your input. I preferred your more succinct syntax. Would have accepted that as an answer. Jan3 comment How to 'calibrate' simple pricing models for equity index options and equity options? Hi Tal, thanks for your feedback. I will use it as a starting point for any subsequent investigation. Jan2 comment How to 'calibrate' simple pricing models for equity index options and equity options? @TalFishman: The (historic) 'fair' bid/ask values differ from the (historic) actually "firm" quotes - in terms of price. For now, I am not concerned WHY there is a difference between the theoretical value and the "firm quotes" (I'll leave the academics to worry about the WHY). Regarding your last question - you may have misinterpreted my question. I have no views (one way or the other) on the historical data. All I want to do at this stage, is to be able to compute the 'missing' fair value bid/ask prices for strikes which don't have this data, using the inputs I outlined in my question. Dec1 comment How would I value a perpetual bond with an embedded option? I agree with this answer intuitively - although I must admit that I don't exactly understand your answer. My understanding of your answer is that the instrument should be valued as a perpetual bond (with an embedded option) and recorded at Notional value \$X (is my understanding correct?). If yes, then it seems that the instrument I described is really, a callable "perpetual" bond?. It is still not clear to me how to price the instrument - could you please be more explicit?. Its been a while since I did any FM/pricing stuff so please bear with me being slow ..