ProbablePattern

329 reputation

bio	website	about.me/stephen.rush
	location	Providence, RI
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visits	member for	2 years, 3 months
	seen	Jan 20 at 2:29
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Experience is just inference from a limited and biased sample.

	329 reputation	bio	website	about.me/stephen.rush	visits	member for	2 years, 3 months
15 badges		location	Providence, RI		seen	Jan 20 at 2:29

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Dec 30	comment	Using the termstrc package in R They appear to be.
Dec 21	accepted	Using the termstrc package in R
Dec 21	answered	Using the termstrc package in R
Dec 21	comment	Using the termstrc package in R I spent the day replicating this format and it does not solve the original problem. Producing an object with the exact same structure as the "couponbonds" class is still a list that is rejected by the est_nss function.
Dec 21	comment	Using the termstrc package in R Thanks, Josh. My understanding is that the YieldCurve package doesn't handle variable coupon bonds which will eventually limit my data set.
Dec 20	comment	Using the termstrc package in R Thanks! After an hour or two of skimming through 80 pages, I would never have found that tidbit without any reference to the couponbonds class.
Dec 20	awarded	Scholar
Dec 19	asked	Using the termstrc package in R
Feb 8	awarded	Yearling
Dec 15	awarded	Supporter
Dec 15	revised	Are there comprehensive analyses of theta decay in weekly options? added 618 characters in body
Dec 4	answered	How to properly evaluate backtest returns?
Dec 4	comment	Are there comprehensive analyses of theta decay in weekly options? The fundamental model of small changes in the derivative increasing to larger changes in the derivative as time to expiration decreases is true in all cases. What changes is the convexity. As volatility increases and all else is held constant, the change in the rate of time decay increases. Another way to look at it: as volatility approaches 0, the graph will approach a straight line but the top left portion will always have smaller changes than the bottom right.
Dec 4	comment	Are there comprehensive analyses of theta decay in weekly options? My last comment on the time value would apply.
Dec 4	comment	Are there comprehensive analyses of theta decay in weekly options? I'm not sure what you mean by extrinsic value. If you mean "intrinsic value" it would be maximized when the stock price is highest compared to the exercise price for a call and the opposite for a put. This would be considered in the money not at the money or out of the money. If you're referring to when the time value is greatest, that would be when the option is out of the money and would have a greater time decay. Assuming we hold constant time to expiration, the risk free rate, and strike price such that a call option is at the money, time decay increases with volatility.
Dec 3	answered	Diversification, Rebalancing and Different Means
Dec 3	answered	Are there comprehensive analyses of theta decay in weekly options?
Sep 14	awarded	Editor
Sep 14	revised	How to shift amongst asset classes in response to relative value views? added 417 characters in body
Sep 13	comment	How to shift amongst asset classes in response to relative value views? Another way to approach the problem would be to run simulations to determine the TAA bands to place on each asset class to maximize long run returns incorporating transaction fees. This method would be sensitive to initial weights so a risk neutral portfolio framework may be a useful starting point. I use a block bootstrap to account for auto correlation in the return series and time varying correlations.