Top new questions this week:
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As we can represent the integration of $f(x)$ on $[a,b]$ with the graph below,
I was wondering how to represent the following integral with $X(t)$ a Brownian motion, $f(t)$ any function and $t_j = ...
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Gamma of an option is the second partial derivative of the theoretical value of an option wrt the underlying.
It should be the rate of change of Delta wrt to a small change on the underlying.
However ...
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I recently read chapter 14 of Gregory's The xVA Challenge.
He defines CVA as (formula 14.2)
$$
CVA = -LGD \cdot \sum_{i = 1}^m EE(t_i) \cdot PD(t_{i-1}, t_i),
$$
where $LGD$ is the Loss Given Default, ...
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More specifically what I am trying to find out is whether the following relationship is always true or not. Same underlying for the calls, assume the most simplistic assumptions (interest rate = ...
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A general result (Peskir and Shiryaev: Optimal Stopping and Free Boundary Problems, 2006, Thm. 2.4, Page 37) is that the solution to an optimal stopping problem $\sup_\tau EG(X_\tau)$ where $X$ is ...
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I'm one of those data analysts who doesn't have a MBA, so I'm still figuring out the basics of finance as work gets assigned to me.
Here's the exact wording I was given:
What's the unit cost ...
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I'm working on a quant interview question from the book called Quant Job Interview Questions And Answers (by Mark Joshi and other authors). I cannot understand the following question(not the answer, ...
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Greatest hits from previous weeks:
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I have been searching in books and on the internet for a basic definition and explanation of CMS rates, but I cannot find anything clear and simple. Can you explain (maybe with an example) what a CMS ...
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I understand Fed Funds Rate is the rate at which banks lend/borrow to/from each other to maintain their daily reserve requirements at the Central Bank; also it is unsecured-meaning no collateral.
Is ...
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What is the so-called Swap Curve, and how does it relate to the Zero Curve (or spot yield curve)?
Does it only refer to a curve of swap rates versus maturities found in the market? Or is it a swap ...
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In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that ...
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We know that there are 2 types of risk which are systematic and unsystematic risk. Systematic risk can be estimate through the calculation of β in CAPM formula. But how can we estimate the ...
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My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands?
I obtained my data from here
start, end = ...
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The answers to this question on forecast assessment suggest that if the sequence of residuals from the forecast are not properly independent, then the model is missing something and further changes ...
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Can you answer these questions?
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I have this exercice, and for the last question, i tried to say that with lower bound, $C > S_0 - Ke^{-rT}$ which is $-8$ something but it doesn't make sense so i don't know what to do. Could we ...
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My question is actually very simple. I would like to motivate it by bringing the following example:
suppose we have a (conventional) bond which generates $CF_1;CF_2;...;CF_n$ cash flow (for ...
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Is it possible to create yield curve object in Quantlib given some function of time? For example, given Nelson-Siegel parameters, create yield curve which can compute zero yield for any date >= ...
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