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Calculation of Daily Mark-to-Market Value of FX SWAP

What is the best method to calculate daily MtM (Profit/Loss) value of an below FX SWAP transaction? SWAP example: Contract: USDTRY Notional Amount: 1 million USD USDTRY Spot Rate: 30.00 (1 USD equal ...
Bünyamin's user avatar
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3 views

Is there a PnL leak in the scenario where you price the vanilla option correctly but get the term structure of vol wrong?

Assume a vanilla option with 1y expiry. The total vol in 1yr is 20 bps, the vol in first 6 months is 5 bps. The price is created by BS(20 bps). But is this price the correct cost of hedging? Will I ...
Arshdeep's user avatar
  • 2,202
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0 answers
8 views

FX Surface ATM and Delta overlap

I am with the concept of constructing FX surface from ATM vols and Butterfly/RiskReversal vols. However, when I extrapolate the surface in time dimension, say to a very long date, no way to gurantee ...
Yue's user avatar
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0 answers
22 views

Computing the price of a zero-coupon bond

I'm given the following exercise: Question 1: Suppose that CHF-USD spot and forward exchange rate are as follows: Spot: 1.00 90-day forward: 1.06 a) Supposing that the forward contract is correctly ...
letmethinkaboutit's user avatar
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33 views

What are the assumption in the DTS paper

In the original Duration Times Spread paper from Arik Ben Dor , Lev Dynkin, Jay Hyman , Patrick Houweling , Erik van Leeuwen and Olaf Penninga , the authors define a change in spread as follows: ...
Giuseppe Pes's user avatar
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0 answers
16 views

Market Data UST

There a lot of new market data providers for retail algo traders. For example the famous one for option is Theta Data Net and for Equities it is Polygon IO. You basically get all the greek/price data ...
confucius_is_confused's user avatar
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0 answers
22 views

Mean-reversion strategy with overnight gaps

When using stocks as time series data, it is common to encounter large overnight gaps, sometimes because of earnings, other times because of press releases. So, how to correctly account for this ...
quanted's user avatar
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0 answers
35 views

LMM under risk neutral measure

I would like to ask one question about this thread: https://quant.stackexchange.com/a/41622/72341 I don't get how to derive the last equation from the first ones. Kind regards
JohnGalt's user avatar
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27 views

Issues with a time-dependent market price of risk

I have a time-dependent market price of risk of an asset as: $$ \lambda(t) = \frac{\mu(t)-r(t)}{(T-t)\sigma} $$ where $t$ is the current time and $T$ is a constant maturity time of an asset. Here, $\...
coffee-raid's user avatar
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0 answers
22 views

roll convention on 1 week instrument on LIBOR curve

I am looking at an AUD LIBOR PROJ curve I want to bootstrap, the business day convention for LIBOR is MOD_FOLLOWING, which seems logical for +1M instrument, however for a 1 week instrument should that ...
Anne's user avatar
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1 answer
34 views

How to compare bank deposit behaviour for different age groups considering you have flow of deposit balances and few other characteristic features?

I have deposit balance data and few characteristics like age and starting balance, when they started banking etc. I am looking for a comparative analysis between younger generation and older ...
Sayooj Balakrishnan's user avatar
0 votes
1 answer
36 views

Quantifying Costs/Benefits Of Partial Hedging

Say I sold a long-dated European put option and I want to analyze the costs and benefits of partial hedges in a world with stochastic price movements, rate movements, and volatility. For example, let'...
Mild_Thornberry's user avatar
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0 answers
19 views

ql.OvernightIndexFutureRateHelper asking for a fixing, but not able to add it

I´m trying to make a Overnight Index FutureRateHelper but when bootstrapping, the following Error arises: RuntimeError: 1st iteration: failed at 1st alive instrument, pillar May 31st, 2024, maturity ...
Esteban's user avatar
  • 11
0 votes
1 answer
36 views

Regression swap vs bond future

I have to perform a regression to get an hedge ratio. The dependent variable is the change on day of a swap fixed rate (f.i. 10y) and the independent variable is the change on day of a bond future ...
Flash7's user avatar
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1 answer
38 views

swap curve calibration with interpolation using newton-like method

suppose 2 swap market quotes for 1Y and 2Y and that swap payments occur semi-annually. calibrating / obtaining the discount factors means finding 4 unknowns / discount factors that reproduce the ...
baluch_stan's user avatar
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0 answers
19 views

How to Compute Returns from Cumulative PnL and Price Data for Portfolio Optimization in Algorithmic Trading?

I have a set of algorithmic strategies. Each strategy focus on a specific financial product and generates entry and exit Long or Short signals. So for each strategy we can have periods in which we are ...
coni_5's user avatar
  • 1
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0 answers
14 views

Cs01 computation for TRS with underlying single name bond

What’s the cs01 calculation formula for TRS with underlying bond for a single corporate issuer? Thanks in advance!
Cathify's user avatar
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33 views

Volatility Surface Modelling in Python

For my master thesis, I try to create a Volatility Surface for S&P500 Index options. Every time I run my code, the surface I get is full of spikes. I'm just not sure if these are outliers which ...
Aaron 's user avatar
2 votes
1 answer
69 views

Caplets volatility questions

Is that correct to assume that all Caps/floors are insensitive to correlation between FRA and why? I find it to be a strong assumption and I don't get very much why some people tell me this. If a 3 ...
JohnGalt's user avatar
1 vote
0 answers
33 views

Early exercise with multiple dividends

I am wondering how early exercise conditions work on multiple dividends. Say a stock pays 4 dividends in a year. We are 1 day before the first ex-div date and long an ITM Call and ITM put in an expiry ...
Fphenom's user avatar
  • 11
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0 answers
14 views

Time-varying Normal copulas, generating residulas with parameters

I am working with time-varying normal copulas who equation is given by The dynamic equation of dependence parameter $\rho$ is : Where $u_1=F_1 (ε_{1,t} )$ and $u_2=F_2 (ε_{2,t} ) $ I ...
nadeem's user avatar
  • 23
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0 answers
34 views

Arbitrage between one touch option and vanilla option

I recently came across this question, which is if you have a one touch option which the market has priced in X% of touching the barrier, and a vanilla call option on the same underlying and maturity ...
monte-carlo-pricer's user avatar
1 vote
0 answers
41 views

How to deal with the deterministic $y$ in the d-dimensional gaussian model

Suppose that under the risk-neutral measure $\mathbf{Q}$ we have an HJM framework dynamics for the instantaneous forward rate $$df_{t,T} = \left(\ldots\right) dt + {}^t \sigma_f (t,T) d W^{Q}_t$$ ...
11house's user avatar
  • 113
-2 votes
0 answers
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My volatility estimate is off by 30bps. My estimate of VaR is off by 5pts

I am using parametric volatility to estimate the 90% confidence 3-month VaR for a 2-stock portfolio. (irl, I'll use much more than 2 stocks). I use here both the trailing volatility to estimate ...
Matheus Popst de Campos's user avatar
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0 answers
20 views

Approximation of an Autocall (trigger 100%) with ATM options prices

thank you very much for trying to answer this question, and I hope it will be helpful to everyone in my situation. I am preparing for an interview, and I've come across these three questions on the ...
Arbitrageously's user avatar
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0 answers
26 views

For what values of $l$ does there exist a self financing portfolio for the asset $A_t= B_t^l Y_t \mathbb{E}(\frac{A_T}{B_T^l Y_T} \mid \mathcal{F}_t)$

Consider the setup where we fix a probability space $(\Omega, \mathscr{F}, \mathbb{P})$ supporting a one dimensional Brownian motion $W$ in its natural filtration. Assume that the market is ...
FD_bfa's user avatar
  • 101
2 votes
0 answers
46 views

Interpolating the volatility cube of European Swaptions

I'm in a situation where I have a cube of European swaption volatilities (normal volatilities), which contains only scattered data. Since it is three dimensional (Tenor, Term, Strikes) I'm having a ...
Leoncino's user avatar
  • 161
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0 answers
29 views

Option pricing model adjustments in practice

I’m trying to understand significant differences in theoretical options pricing data that I‘m seeing. I’m new to this, so I suspect I’m missing something obvious. Taking a fixed set of inputs 1, when ...
Sam C's user avatar
  • 1
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0 answers
14 views

Is there any way to implement GARCH-MIDAS model in R for multivariate estimation?

I'm writing a research paper in economics, and would like to research the impact of both financial and macroeconomic variables on the NIFTY50 index. My plan was to use a GARCH model. I've stumbled ...
Zeeshan Mohammad's user avatar
-1 votes
2 answers
61 views

Proof of the value of an option using hedging and no-arbitrage [ Paul Wilmott Chapter 3.12.2]

I encounter a difficulty in understanding the proof of finding the value of an option. Before going into the proof, let's talk above the assumptions and parameters of the model. Assume that we know ...
Ricky Pang's user avatar
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0 answers
30 views

Creating a dynamic trading range

A trading range is determined by price, volume, and time. To accurately represent support and resistance levels, price movements should be weighted by volume. The duration of the trading period is ...
Pherdindy's user avatar
  • 141
-1 votes
0 answers
20 views

Options on Futures Historical tick data [duplicate]

Where can I find historical tick by tick data for E Mini S&P 500 Options on Futures by CME? I am looking for level 1 tick data with bid ask quotes.
Parva Patel's user avatar
1 vote
0 answers
58 views

Bond Basis (non CTD)

I had a query regarding the trading of non CTD (but deliverable) basis. Obviously someone can buy non CTD basis (buy cash / sell bond future), with the hopes this widens, clearly I would not want to ...
user68819's user avatar
  • 440
1 vote
1 answer
59 views

How the variance process in discretised form influence the asset price in the Heston model

I'm trying to do Monte Carlo simulation paths of an asset price with time step $\Delta t$ via the discretised Euler scheme. My main question is how does the variance process influence the asset price ...
AQT's user avatar
  • 13
0 votes
2 answers
62 views

Upper bound for difference of two call options

Let $r>0$ be the interest rate and $S_t$ the price of a stock at time $t$. Let $C(t,K_1),C(t,K_2)$ be the price of call options at time $t$ with the same underlying asset $S$, the same maturity $T$ ...
Summerday's user avatar
  • 105
0 votes
1 answer
62 views

Intuition behind short 1/2 stock in option value - Paul Wilmott Quant Finance Chapter 3.3

I don't get the intuition behind the construction of long option + short 1/2 stock portfolio for finding the value of an option using binomial model. In Paul Wilmott ...
Ricky Pang's user avatar
0 votes
0 answers
35 views

Why can't Conda find this tarball that's exactly where it's looking for it? [closed]

I put a tarball into a local directory, then I made that directory a channel for conda install, and Conda seems to be telling me it can't find that tarball in that directory even though, as you can ...
Hart Deer's user avatar
0 votes
1 answer
22 views

How do I reformulate this max GMV ratio constraint in convex way?

Assuming I have N stocks. I want to have the following constraint in my optimization problem setup. $|x_i| \le \alpha \sum_{j}^N |x_j|$ where $\alpha$ is known, say 0.6. The intuition here is the GMV ...
inf's user avatar
  • 41
0 votes
1 answer
70 views

Expectation of average, conditional on terminal value

Silly question, but for some reason I'm a bit uncertain about this this trivial example perhaps: I have the following simple BS model $$ S_T = S_t \exp \left\{ -\frac12 \sigma^2 (T-t) + \sigma (W_T - ...
Frido's user avatar
  • 1,866
0 votes
0 answers
45 views

GARCH-MIDAS model for forecasting volatility?

I had a problem when I just estimated the GARCH-MIDAS model on Eviews: I found only the MIDAS model. Can I estimate the GARCH(1,1) model and MIDAS separately, and then multiply them to have GARCH-...
JOUD's user avatar
  • 1
0 votes
0 answers
51 views

Pricing a custom option in terms of simpler instruments

I have the following custom European Option $F$ on the underlying $S$ whose pay-off at expiry $T$ follows: $$ F(T) = \min{[B, \max{[K_1-S(T), S(T)-K_2,0]}]} $$ where $B$ is a cash position and $0<...
Siddhartha 's user avatar
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0 answers
44 views

Can I add Sharpe Ratio with information ratio in convex way

Sharpe Ratio can be turned into a convex function. And information ratio as well. Supppose I add these ratios as follows: (SR + 3 IR ) / 2 Can this function transfer into convex? How should I do it?
andy's user avatar
  • 1
0 votes
0 answers
19 views

Approximating Distortion Risk Measures by the Sum of their CVaRs

Can you please cite me to the paper that prove the theorem that any distortion risk measure can be approximated using the sum of its CVaRs? Someone said it is Axiomatic Characterization of Distortion ...
Leboea Polinyane's user avatar
0 votes
1 answer
74 views

Portfolio Optimization Maximizing Sharpe Ratio Allowing Shorts [closed]

hope you find all well I'm currently exploring portfolio optimization techniques aimed at maximizing the Sharpe ratio while allowing for short selling. My constraints are upper bound of 0.5 and a ...
WatchMeScale's user avatar
-3 votes
0 answers
40 views

Caplet stripping

Ho, I am doing a daily/parametric volatility with correlations for LMM. Is that correct to assume that, let say for 6 month reset, my volatilities are independents between each reset or is this a ...
JohnGalt's user avatar
0 votes
1 answer
82 views
+50

Up and Down Multiplicative Factors of the Binomial Option Pricing Model

When computing these factors, according to some sources, $u=e^{r\Delta t+\sigma \sqrt{\Delta t}}$, where $r$ is the risk-free interest rate, $T$ is the time for maturity, and $\sigma$ is the ...
Bumblebee's user avatar
0 votes
0 answers
55 views

Calculating returns on sequence of trades with zero starting capital

Background I am trying to calculate the returns on a sequence of trades performed by an entity, where I do not know the starting capital. Therefore I assume a starting capital of zero. From these ...
jkut's user avatar
  • 1
-1 votes
1 answer
66 views

How to price a buffet or, how to price a subscription? [closed]

I've been thinking about a problem that may not be so specific lately. How do we price a buffet, or how do we price a subscription service? In more detail, let's assume that we are a cosmetics ...
Allonsy Jia's user avatar
0 votes
0 answers
45 views

School project : stock price "prediction" using fft [closed]

I would like to make a program that uses fft to try to forecast the future price of stocks (or forex or crypto but not options or derivatives). It seems interesting to see what we can do using only ...
Vishwaraj's user avatar
0 votes
0 answers
15 views

How do you estimate MC error from a low-discrepancy sequence without using another simulation?

As asked in the question - for a pure random sample, we can estimate standard error by taking the sample standard and divided by square root of n due to IID assumption If I generate $2^n$ samples of N ...
Lost1's user avatar
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