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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 2 months |
| seen | 30 mins ago | |
| stats | profile views | 599 |
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Dec 17 |
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How to calculate cf and interest accruals of the swap? There are tons of swap pricing xls sheets when you google "swap pricing xls". Best you download some and play around with the numbers. Your question is way too broad to respond to it meaningfully. Your best bet is to price a swap on a spreadsheet following some of the examples. |
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Dec 16 |
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Should I use GARCH volatility or standard deviation in cross-sectional regression? ok, but then maybe you want to consider including a description of your specific application next time so people can give you a more targeted answer. Also, you do not need to rush marking an answer if you are unsure. Just my 2 cents. |
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Dec 16 |
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Should I use GARCH volatility or standard deviation in cross-sectional regression? add'l info: OP chose this answer then switched to a different one, was just curious of his/her thought process and was not trying to influence his final decision. |
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Dec 16 |
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Should I use GARCH volatility or standard deviation in cross-sectional regression? @Jase, care to explain the unselecting of the answer and chosing a different answer which only adds that Garch models help in forecasting when you clearly stated that you do not look to forecast? I do not have an issue with the fact that you are at liberty to chose the best answer for you, I just do not follow your rational to chose an answer that agrees with mine and adds the forecasting point which you made clear you do not look to perform plus me pointing out that my answer does not pertain to forecasting volatility. Confused!!! |
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Dec 14 |
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Control Bloomberg logins in a library @antonio, you may want to check the legal liability terms of the specific contract under which your library/university signed up for a BB account. Re your hunch, I would be happy if most staff at BB's help desk were more honest and forthcoming in their dealings with clients. |
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Dec 14 |
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Cloning Return Streams ...lack of own ideas. Sounds pretty unprofessional if you ask me. Secondly as someone else pointed out, you are always behind the curve, nowadays HFs change and adjust their strategies so often that when you get your hands at decent amounts of return and risk data such HFs most likely already changed their style, weights, strategies. Thirdly, HFs have put in such poor performance over the past years (tendency: dropping further) that I am not sure why you would want to emulate what players with a weakening edge do. Downvote!!! |
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Dec 14 |
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Cloning Return Streams I did not provide an answer because what you are attempting is unethical at the very least. I am sure there are tons of people who beg to differ. They say that to stay competitive you must do whatever it takes to stay afloat. Well, I respond that you have a fiduciary duty to your investors and also to yourself, and stealing others' ideas and basically investing money without putting your own brain at works to come up with trading strategies is not particularly original nor fulfilling your fiduciary duty as PM. I do not want to invest with PMs who stole ideas from others for... |
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Dec 11 |
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hedging two bonds in different currencies with FX forward I am asking because a lot different risks exist in your portfolio (interest rate risk, credit risk (in case of corporate bonds), sovereign risk (in case of sovereign bonds), prepayment risk (in case of prepayment features embedded in the bonds), and new credit risk arises when implementing an fx swap. I need to know what exactly you try to hedge here... |
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Dec 10 |
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hedging two bonds in different currencies with FX forward are you looking for a mathematical approach or like to know how market practitioners hedge fx exposure? What is your base currency? Which exposure do you try to hedge? Please elaborate before I can help further |
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Dec 10 |
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hedging two bonds in different currencies with FX forward what do you try to hedge? if fx exposure then yes a strip of fx forwards or fx swap |
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Dec 10 |
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Interpretation of Macaulay Duration @gabriel, I added an additional link to my answer, in case you are still confused that article should clear things up. |
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Dec 10 |
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Interpretation of Macaulay Duration @gabriel, I am not sure I understand your confusion. Yes, Macaulay duration can also be interpreted as a risk measure, generally bonds of longer maturities are more sensitive to yield changes, thus a larger Macaulay duration indicates a higher sensitivity of the bond price to changes in yields. So, for example when the Fed lengthened the duration of its mortgage bond portfolios in its latest easing measures that was reflected in an increase of MD. But you need to pay attention to a host of other risk measures as well, such as convexity changes, possible optionalities,... |
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Dec 9 |
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Quanto CDS modeling thanks for mentioning this. |
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Dec 9 |
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Interpretation of Macaulay Duration referring to phi's example who posted an answer first |
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Dec 9 |
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Quanto CDS modeling you do not happen to be the author of the linked paper? If yes, I would recommend you mention that, obviously you have a special interest in calling your own paper "a very interesting paper", regardless of whether its interesting or not. Its kind of market practice to do so (and I would assume that you, as Director in the Analytics team, would know about how to reference own and others' work), all making the assumption that you are the author.Nonetheless, I will want to read through the paper, interesting topic. |
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Dec 9 |
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Interpretation of Macaulay Duration and by the way, your definition is incorrect, nowhere does it say that Macaulay duration is defined as the amount of years by which you have your initial investment back, that is simply incorrect, which is proven by your example above. |
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Dec 9 |
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Interpretation of Macaulay Duration who is "you"? You are saying that you had your post edited and adjusted and then tell someone else they got it wrong? Confused here... |
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Dec 9 |
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Interpretation of Macaulay Duration incorrect, the pv (price of the bond) is definitely not 1305 dollars, how could it be on a $100 par bond? |
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Dec 9 |
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George Soros models why did this MARKED as answered question popped up again? I have value to add I believe but the question is marked answered... |
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Dec 6 |
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Kalman Filter Equity Example well my point was that a Kalman filter makes the assumption of normally distributed error terms and also that the equation must be linear (linear dynamic system) which is not in agreement with empirical evidence gathered from analyzing financial time series data. I remember there was a youtube lecture video implementing a particle filter on stock time series, estimating highs and lows for a momentum based strategy. A quick search did not get me anything. If I find it later then I will post the link |
