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Oct
1
comment Concave volatility smile
terrific, thanks
Oct
1
comment Concave volatility smile
Which paper are you referring to? (Link appears to be dead)
Sep
25
comment Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades
Sorry dont have, but its a trivial calculation, weigh the average price by the previous size underlying the old avg price and the fill size and fill price.
Sep
25
comment Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades
Move closed trades into a different collection, simple as that.By the way, you should re-calculate an average price each time you get a fill, in that sense you can store and retrieve the avg price (or for that matter any other metric) at any time without additional computational overhead. (unless of course you query or utilize avg price much more seldom than you receive fills).
Sep
24
comment Pricing options and bid-ask spread
Can you please elaborate what you are looking for. It is very unclear to me what you are asking.
Sep
24
comment Why is the Put-Call Symmetry model dependent?
"You don't have to have a "pure" GBM for this to work". True, but the Put-Call relationship may then be different.
Sep
23
comment Why is the Put-Call Symmetry model dependent?
Very simple, think in terms of the terminal payoff functions between call and put and setup two portfolios, one holding a call and K bonds, and the other a put and one unit of underlying. Verify that both portfolios are of equal value at expiration and you should easily be able derive PC-Parity. The reason why distributional assumptions matter is because the call and put prices underly the same assumptions. Make different distributional assumptions and you may not even be able to derive a closed form solution.
Sep
23
comment Calculating spot level using tick data
Incorrect, a bid and ask reflects an entry in the limit order book. When you enter a market buy order then it never enters the central limit order book but it will be matched against the best offer(s), hence, rather than seeing identical bid-offer levels you actually may see an initial spread widening, given the best offer is taken out.
Sep
23
comment Delta in Covered Calls?
Essentially yes, but I would go with a 1 delta for each stock and if the option is written on 100 underlying shares then you adjust accordingly. Most options, taking all markets into account, are not written on 100 units of underlying.
Sep
23
comment Market Standard Pricing Models for Fixed Income Securities (Vanilla)
Take a look at Quantlib. There are wrappers available so you can run it in .Net as well or you can import the native dll and write your own wrapping methods to simplify and still access it from managed code.
Sep
23
comment Implied term structure from risky discount curve: does it make sense?
I do not want to further clutter the comment section with this issue, I hope I made myself clearer about this issue and again, this is how I feel about it, maybe I am the only one. I prefer to answer questions where I know the asker is engaged and responsive because I believe I can then also learn and that the time, spent, is appreciated and will hopefully add value to other users also.
Sep
23
comment Implied term structure from risky discount curve: does it make sense?
Ok, in order to give a meaningful answer to your last question I took another look at all your questions where no answers were given. As part of most of such questions users added at least comments and you hardly responded/replied or added additional information in order to address the issues given by users in comments to your questions. If you seriously seek answers to your questions then maybe you want to interact with others that try to help but possibly did not understand your question or did not find it clear enough. Does that make more sense?
Sep
22
comment Implied term structure from risky discount curve: does it make sense?
not trying to be too investigative, but you find 50% of questions you asked and received multiple answers for not worthy commenting on or marking as sought after answer? Maybe a comment that you do not find any of the answers properly answered would help?
Sep
19
comment Robust Returns-Based Style Analysis
I do not see why a risk-adjusted return analysis (which Sharpe is) is flawed just because a fund frequently changes strategies. Sharpe calculations have nothing to do with linear regressions. Of course there are improvements that can be made, I am not saying that Sharpe measures are perfect, but it still is industry standard by which you, funds, anyone is measured before people take a closer look.
Sep
18
comment Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?
What I listed are key concerns that determine whether the arbitrage makes or loses money, they are far from being operational. Your answer links to the no arbitrage argument to price a future/forward.
Sep
17
comment Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?
this has very little to nothing to do with the question at hand. The challenges arising from index arb are the necessity to execute multiple orders at very low latencies and to overcome the bid-offer spread in the underlyings, traded, the probability of getting filled when submitting orders around mid levels (its almost a given that index arb turns out to be a negative expected value proposition when being forced to be a complete market-taker), and the challenges to remain fully hedged when trading the arb.
Sep
17
comment Pre-Trade Slippage Costs For Option Spread Execution
you are omitting the most crucial piece, which is queue priority and how aggressive/defensive market makers are.
Sep
16
comment Time series analysis on illiquid price data?
what makes you think it is initially mispriced? And towards which theoretical mean, given there is no reference level to gravitate towards? As said, using other asset's time series is possibly one of the worst proxies you could pick. But that is just my 2 cents without exhaustive research on the topic. Why don't you test on your theory on past IPOs?
Sep
16
comment Time series analysis on illiquid price data?
I would strongly discourage you to estimate the first trading price of A as function of current (and even historical time series) of comparable companies. The opening trading price is best estimated from A's own fundamentals as well as subscription price, support period price bands, which banks underwrote the stock, how much the company intents to float, public interest, .... You are in for a tough exercise with tons of margin for error if you attempt to price the trading range based on where comparables trade(d)
Sep
12
comment Long/Short portfolio return
This question is answered several times in other questions on this site. Please search for "compounding returns", "aggregate returns"