All Questions

0
votes
0answers
2 views

Linear Interpolation around End of Month (EOM) for IRS with standard rolls

I have a USD IRS S/A v 3M LIBOR with the following dates: Effective: 30th April 2018 Maturity: 28th April 2028 (Rolls day of month = 28) Therefore stub period runs from 30th April 2018 to 28th July ...
0
votes
0answers
23 views

How to find out where a public company spends money?

Occasionally I will see articles about how Company X spends x dollars on A, and Company Y spends y dollars on B. Here is an ...
0
votes
1answer
14 views

A quick and dirty loss distribution and Credit VaR

I need to create a loss distribution for a credit portfolio as the first steps to estimate the portfolio Credit VaR. I have historical monthly account snapshots (payment history) of all accounts ...
0
votes
1answer
19 views

Calculate the implied loss rate on a loan, given the interest charged

My bank has a retail credit portfolio of 100 million in loans. I know the payment history,balance history of all these loans since inception. Are there any tools to calculate an expected loss, a loss ...
1
vote
0answers
29 views

Simulation of Stochastic Volatility with Correlated Jumps (SVCJ) price paths

I am trying to simulate price paths for Monte Carlo option pricing of the Stochastic Volatility with correlated jumps model as presented in Dufffie et al.(2000), Eraker et. al. (2003) and Eraker (2004)...
2
votes
1answer
133 views

Question on Gÿongy' lemma proof

I have some questions regarding a proof of Gÿongy's lemma given in 1 I would like to understand the following passage: $$ \int_{s=t_0}^{s=t}\mathbb{E}\left[\delta(X_s-K)\langle dX_s\rangle^2 \right]= ...
0
votes
0answers
24 views

Binomial model option

An American call option with exercise price $K = 90$ written on an asset where the asset prices in dollars are given below, the interest rate per period is zero, and a dividend of $5$ is paid between ...
0
votes
1answer
53 views

Bitcoin dynamics - C++ Simulation

I would like perform a simulation of Bitcoin future prices given a sample of the 4 past years (2014-2018). My problem is that I do not know what model to use! For common stocks I used the geometric ...
0
votes
1answer
42 views

DATA for Backtest

I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend ...
0
votes
1answer
32 views

Extend mean-variance optimisation to fama five factor

I'm new to quant finance, and as I'm not a mathematician, I am using python to try an understand it. There are a number of blogs on the internet which explain mean variance optimisation, but no-one ...
0
votes
1answer
26 views

How to get Forward price based on Put-Call parity?

Could you advise how to find a forward price using Call/Put (+Spot and Strike) ? Investodepia says that forward is equal to option's strike based on Put-Call Parity but it seems to me there is a ...
2
votes
2answers
104 views

What is “Lambda” in Heston's original paper on stochastic volatility models?

In his paper (link), he has the equations: b1 = k + ƛ - (ρ * σ) b2 = k + ƛ k is the rate of mean reversion, ρ is the correlation between the two Wiener processes, σ is vol of vol, what is ƛ? ...
0
votes
1answer
26 views

Black-Scholes volatility implied by stock prices only

I was solving Problem 2.47 from T.F. Crack's "Heard on the Street". I think that the answer given in the book is not correct and I would be thankful if you tell me, where I am mistaken. Question 2....
0
votes
1answer
31 views

Infinite Binomial Pricing no arbitrage

How to price a contract that pays only 1 at the first stock price drop? The stock follows an infinite binomial with no arbitrage $d<R<u$ condition. So the probability of the price going down is ...
1
vote
0answers
36 views

Prove Subadditivity - Entropic Value at Risk

Any insight in how to prove the following risk measure is subadditive? $\rho_{1-\alpha}(X) = \inf_{z>0}\{z^{-1}\ln(\frac{E[e^{zX}]}{\alpha})\}$, with $\alpha \in ]0,1]$ I want to prove it is a ...
0
votes
0answers
20 views

Binomial tree for elementary security

I'm coursing a financial engineering course and must build a binomial tree for a security that is valued 1 in state and time 0. I dont get the formula given by the instructors, and trying to apply the ...
1
vote
0answers
22 views

Need to solve the stochastic differential equation of Vasicek Model

How to solve the stochastic differential equation of the Vasicek model for the analysis of credit risk? I search in the article "The Distribution of loan portfolio value" (Vasicek) but he doesn't ...
1
vote
0answers
42 views

Opposite of Value-at-Risk. Criteria for Optimization

I'm trying to optimize portfolio of undervalued and portfolio of overvalued stocks. I have simulated scenarios of stock returns, and based on them I would like to find optimal weights. One criteria is ...
0
votes
0answers
22 views

where does the 4h term come from in the “viscosity solution” of this dynamic programming solution of a quasi-variational inequality?

On Page 151(Section 5.4) of Optimal Control in Limit Order Books there is a numerical scheme defined via a time discretization of a system of quasi-variational inequalities My question is, where is ...
1
vote
0answers
52 views

What are some beginner quantitative option trading strategies?

I'm new to quantitative trading, with good knowledge in finance and coding (mainly Python, Java, R, etc). I would like to know if there are any basic quantitative option trading strategies that can ...
1
vote
1answer
26 views

Finding B(t) in the Vasicek model relating to the bond equation, more specifcally from the initial condition

In the Vasicek model for derving bond prices, we have the ODE $$\frac{dB}{dt}=\gamma B-1$$ which gives rise to the general solution $$B(t)=C_1 e^{\gamma t}+C_2$$My problem is that we have the "initial"...
0
votes
1answer
79 views

Rationale for describing kurtosis as “peakedness”?

Despite plenty of evidence to the contrary, many quantitative finance sources of information, including teaching resources such as CFA prep, persist in defining kurtosis as a measure of "peakedness." ...
1
vote
1answer
51 views

Monte Carlo simulations in Python using quasi random standard normal numbers using sobol sequences gives erroneous values

I am trying to perform Monte Carlo Simulations using quasi random standard normal numbers. I understand that we can use sobol sequences to generate uniform numbers, and then use probability integral ...
-1
votes
0answers
31 views

How to calculate impact on portfolio with various asset classes

I was given a portfolio consisting of equities, commodities and high-yield bonds and respective weights. I also have correlation data of different asset classes and standard deviation of each asset. ...
1
vote
1answer
37 views

Fixed Income Attribution

Q: In the passage below, is the implied forward rates (expect return) considered the same as the market implied return from forward rates (unexpected return)? For instance, Expected return = Implied ...
-1
votes
0answers
26 views

Help!! how can do i compute bond price with YTM in python? [on hold]

Given FV = 1000 coupon rate = [0.01, 0.015, 0.023, 0.038] ytm = [0.016, 0.021, 0.045, 0.065]
1
vote
0answers
20 views

how to test OMS functionality via FIX?

Has anyone done app dev that tests OMS functionality ( FIX ) ? Do any brokers or other financial entities make test apis available ?
2
votes
0answers
25 views

Achieving an even distribution of orders in the queue

Market Making under a Weakly Consistent Limit Order Book Model contains the following paragraph "The market maker may achieve her target execution profile by continuously adjusting her limit ...
1
vote
1answer
43 views

where to download current composition of popular indexes?

What are reliable sources to download plain-text files listing current composition of various popular indexes such as S&P 500 (SPX) or Dow Jones Industrials (DJI) or Nasdaq 100 (NDX) ? At a ...
2
votes
1answer
53 views

Computing FX forward returns using spot returns and an existing term structure

Sorry for the naive question, I am new to the area. I have YTD spot returns on the USD/GBP pair and a forward yield curve. How would one go about computing the forward returns in 2 years using this ...
1
vote
0answers
35 views

Local Volatility calculation in Python

I am trying to price Local Volatility in Python using Dupire (Finite Difference Method). I have following set of information Spot: 770.05, Strike: 850, Type: 'C', rfr: 0.0066, time to maturity = ...
2
votes
1answer
46 views

Expected value of stochastic optimization

I have a optimization problem where the SDE is: $$ dX(t) = [X(t)(u(t)-\beta(t))+\theta(t)]dt+X(t)u(t)\sigma dW(t), t \in [0,T], X(0) = X_0 $$ where $\beta(t)$ and $\theta(t)$ are deterministic ...
1
vote
1answer
39 views

How to hedge x gamma in callable prdc?

How do you hedge the short rates - fx cross gamma in a callable PRDC (Power Reverse Dual Currency note) ?
0
votes
0answers
21 views

American look Back Option (put)

Hello everyone I'm having some trouble calculating the value of an american lookback put option using any other method but "similarity reductions", if you could kindly describe such method or provide ...
0
votes
1answer
31 views

Calendar roll terminology (buy vs sell)

I am trying to get the direction/terminology correct in futures calendar trading. Let's say I have two calendar futures contract where the prices are 100 and 102 reflecting the front and back ...
0
votes
1answer
46 views

pricing deliverable vs non-deliverable fx forwards

I am trying to link these two questions together Pricing a regular FX forward This is a contract (say USD vs JPY) where you exchange 2 currencies at maturity at a pre-determined rate, while no ...
0
votes
0answers
24 views

How is a LIBOR Market Model volatility skew determined?

LIBOR based interest rates are derived from the prices (supply / demand) of swaptions, caps and floors. These prices are generally quoted in yield vols. Their prices are given by the Black formula. ...
0
votes
0answers
34 views

Temporal aggregation of daily implied volatilities

Suppose I have a time series of daily implied volatility values for a given month and I am interested in calculating the monthly implied volatility for that month. What would be the most theoretically-...
1
vote
0answers
36 views

Risk Measure-identication

Let X be a variable with existing moment generating function $M_x(z)=E[e^{zX}]$. Define the following risk measure: $\rho_{\alpha}(X)=inf_{z>0}(z^{-1}ln(\frac{M_x(z)}{1-\alpha}))$ Does anyone know ...
5
votes
0answers
65 views

Distribution of portfolio values with constant spending rate

If your portfolio is invested in an asset that follows a geometric Brownian motion, and you withdraw a constant dollar amount at the beginning of each year, is there an approximate analytical ...
0
votes
1answer
49 views

Solving for Implied Volatility Vega gets stuck at 0 (Python)

So my goal is to calculate option greeks with as few manual inputs as possible. I managed to get the IV for at the money options but then when I try further OTM strikes my results get completely ...
0
votes
1answer
67 views

Calculation of Bond returns

Given that I have a portfolio of High yield bond with USD 50. Duration : 5 years and Spread duration: 5 years CSI BARC Index (Barclay US Corp HY) is as below for the last 30 years. USGG10YR Index (...
0
votes
0answers
37 views

How to implement an investment strategy in MATLAB? [closed]

Since I`m a total novice in MATLAB I am struggling with a question that might be not even really hard. I have to implement and backtest 4 heuristic investment strategies but literally no idea how to ...
0
votes
0answers
43 views

Scenario Analysis - Real life application

Given a portfolio consists of Stock = usd 40, Bond = usd 40, commodity =usd 20. Also given the correlation between these assets. Scenario 1 : stock down by 30% When performing scenario analysis, do ...
0
votes
0answers
43 views

What is needed in Brownian Motion [closed]

What data is needed for Brownian Motion? I’m currently having an dummy firm, and want to simulate stock market using this dummy firm and firm data. How can I proceed this ? Edit: I have a simulated ...
0
votes
1answer
36 views

serial correlation and CUSUM results

I have the following CUSUM test resulted from autoregressive distributed lag models (ARDL). Does the CUSUM results show that the model is stable? I am a bit confused because the red line in CUSUM ...
0
votes
1answer
59 views

Is there an inverse relationship between (future-spot) price and yield?

If the difference between futures and spot prices rises will the yield for the current bond increase as well?
0
votes
1answer
50 views

DeMark Indicators

Would anyone know of a library in R that handles DeMarkindicators. Just wanted to check-in with the community before I invested a whole lot of time reinventing the ...
0
votes
1answer
35 views

does anyone calculate substitution risk?

So a company can post collateral to borrow money (repo agreement) and they may have different options of collateral to post. I have to pay a return on their collateral while I hold it. Since, at the ...
1
vote
2answers
72 views

Portfolio volatility - Real life application

Given that a portfolio consists of Stock=USD 30, High-yield bonds(duration=5 years,spread duration=5 years) =USD 40 , Commodity = USD 30. I was given monthly data for MXWD Index for stock, CL1 Comdty ...

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