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15 views

How do the following aspects lead to U.S. Repo shortfalls

A major theme in the markets this past week has been the repo rate hikes and the sudden disappearance of liquidity. Although most are confused as to the main reason, there seems to be a consensus on ...
1
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1answer
16 views

Implied interest rate using put-call parity

In the process of asking this question, I acutally found the solution. I still let this post open if it can be interesting to someone else and have added a related question at the end. I want to ...
1
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0answers
8 views

How to calculate Turnover Ratio of a scaled Portfolio

I want to calculate the Turnover of my scaled Momentumportfolio (Barroso und Santa-Clara 2015) They described Turnover Ratio with the following formula: While i understand the general concept (...
1
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0answers
12 views

How to estimate the probability of false positive in our results?

Suppose I have a strategy, I run a backtest on it in only one symbol (suppose the historic data to backtest is 25000 candles). The results of that backtest is: Total Trades = 50 TakeProfit/...
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0answers
14 views

What MIPS (Municipal Inflation Protected Securities) are out there besides the two DFA ones?

DFA has DMREX AND DCARX. Are there others? I'm specially looking for high quality, medium or long duration MIPS but a list of anything would help.
2
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0answers
17 views

Books on banking by Moorad Choudry

What do you think about books on banking written by Moorad Choudhry? Someone recently recommended them to me as a good general introduction to modern banking, for example: An Introduction to Banking:...
1
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0answers
27 views

relationship between option vol and option payoff

Has anyone thought of the relationship between the option vol and distribution of option payoff? for example, I have 1000 paths of simulated underlying prices, keeping all inputs the same but only ...
0
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0answers
25 views

Currency exchange rate

I'm working with monthly data and I need to use FX rate in my model. I have daily data for exchange rate and not sure how to average it over the month. Should I compute simple arithmetic average over ...
0
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0answers
6 views

How to compute reference share price and reference volatility in CreditGrade?

I'm trying to implement CreditGrade in python, from the msci Technical Notes (https://www.msci.com/documents/10199/dd31bcce-6fe3-47b7-9fb7-10c4c8f750ba) but I'm running into some comprehension trouble ...
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0answers
12 views

How can I estimate a dynamic GARCH model using a Kalman filter methodology in R or matlab?

Does anyone know of any R or matlab packages for estimating garch models using kalman filtering or any other state-space methodology? I would like to estimate a Garch so that not only the variance, ...
3
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1answer
82 views

Hedging EURUSD with negative rates

I was reading an article and i saw this : Fund managers based outside the eurozone can profit from buying Europe’s negative-yielding government debt thanks to an uplift from hedging the currency. ...
0
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0answers
24 views

Arbitrage free volatility smile and delta

If we have a (parametric) volatility surface which has arbitrage, then consider the delta of the options, i.e. $N(d_1)$, where $d_1 = \frac{1}{\sqrt{t}\sigma(K)}\log(F/K) + \frac{1}{2}\sigma(K)\sqrt{...
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0answers
13 views

which books can be studied to get knowledge about banking? [duplicate]

Which books are preferable for banking awareness? I need to increase my banking knowledge as I am new to this, Kindly refer me some good books to start with !!!
0
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1answer
29 views

Why would a lower stock price leads to higher value of a call option?

Currently I am reading Basic Black Scholes: Option Pricing and Trading by Timothy Falcon Crack. At page $47,$ the author mentions the following. Higher interest rates decrease the present value of ...
0
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1answer
18 views

Do not understand 'If an option position includes short American-style options, then the payoff-diagram may be misleading'

Currently I am reading Basic Black Scholes: Option Pricing and Trading by Timothy Falcon Crack. At page $42,$ the author mentions the following. If an option position includes short American-style ...
1
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1answer
21 views

Calculating the value of Beta - Martingales

Assume a risk free bond $B_t$and the stock St follow the dynamics of the Black & Scholes model. (with interest rate r, stock drift $\mu$ and volatility $\sigma$). Find $\beta$ such that the ...
1
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1answer
16 views

In a cleared inflation swap agreement, what determines how much “collateral” a party needs to deposit into the third party escrow account?

Does realized inflation or expected future inflation determine how much money needs to be placed into the escrow account each day?
1
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1answer
57 views

Practical purpose of overnight repos

I know this might not be a very quantitative question, but I figure this is the most relevant place to ask this. Over that last few days there has been a lot of news from the repo market, for example:...
0
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0answers
16 views

The best ways to compare Monthly historical volatily

Can you help me with the best ways to analyze/report about of difference between recents months in terms of volatility? I want to demonstrate with "numbers" why a month had been more volatile than ...
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0answers
13 views

CDS ISDA Pricing (usage of accrued in calibration)

I am looking to understand the ISDA CDS Pricing Model for a 1Y "Buy Protection" CDS with Coupon = Quoted Spread = 100bp. Numbers are from Bloomberg. Cash-Flow Matrix ...
0
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0answers
10 views

Fama French Regression Data matching with returns

as I couldn´t find anything similar in the forum.. I am doing portfolio sorts on a variable (MISP) with stocks that are held for a month: Each month, I am building portfolios by grouping into ...
-1
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0answers
27 views

Ideas for research questions on market efficiency [on hold]

I am looking for a topic or research question on the efficiency market hypothesis for my doctoral thesis. I would like to write a paper by empirically testing the efficiency market hypothesis. I can ...
1
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1answer
39 views

Interest Rate Swap curve: CMS vs. OIS?

I'm working on a project where we're trying to create a database model where we can (daily) update collected data in order to make RPA predictions. We received data from Interest Rate Curves called ...
1
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2answers
65 views

Why annualizing sampled covariance matrix changes stock weight vector?

Question While optimizing a portfolio using 'Global Minimum Variance' (GMV) method, I found that annualizing a sampled covariance matrix makes a difference in stock weight vector. Q1. Why ...
1
vote
1answer
22 views

Fama-French Annual Returns Regression?

I see that the Fama-French library offers annual factors for their models, but everyone seems to exclusively use monthly returns of stocks in their regressions involving Fama-French factors. I am very ...
0
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1answer
65 views

What happens to both sides of an inflation swap agreement if there is deflation?

If there is deflation does the Inflation receiver not only pay the fixed leg but also receives a reduced CPI? I.e. does he lose twice?
2
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0answers
28 views

Why does change in Sight Deposits reflect Swiss National Bank FX action

I am confused of how the Swiss National Bank's famous FX interventions are reflected in the change in Sight Deposits. Against the backdrop of the ECB meeting, it is said that the SNB has taken ...
2
votes
1answer
27 views

Definition of interest rates in binomial tree model

I'm studying financial mathematics from Shreve's text. I have two problems. 1) "for a binomial tree with three steps, where $S_0=20$, $u=1.05$, $d=.95$ and continuously compounded risk-free interest ...
4
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0answers
37 views

How to calculate average entry price for perpetual swap contracts?

I'm trying to calculate the average entry price for perpetual swap contracts for use in back-testing a trading strategy, as per Bitmex's documentation: A Perpetual Contract is a derivative product ...
-5
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0answers
37 views

Options pricing equations mission impossible [on hold]

So if I was Ethan Hunt, I would break into the exchanges and go to their mainframe computer while hanging from a thread and insert a super secret disk and download the data but since I am not him (yet?...
2
votes
1answer
45 views

Why do not include loan payments in NPV?

Textbooks in finance claim that one should not include financial cashflows in capital budgeting. I get the idea of not including interest (as it should be included in the cost of capital), but I don't ...
2
votes
0answers
41 views

Optimizing monte carlo code in python [on hold]

What are they key points to use while coding a monte carlo simulation in python? I have the following monte carlo code : ...
3
votes
1answer
62 views

Basis Swaps in Quantlib/Python

I am aware that I can create a IRS in Quantlib/Python by using the following function: ...
4
votes
1answer
41 views

Alternative relative performance measure to Sharpe ratio for non-IID return

The Sharpe ratio is often used to compare the relative performance of portfolios despite its IID-assumption for the returns being violated. I can find ample warnings about the consequences of ...
1
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1answer
36 views

<Credit Default Swap> Auction Recovery vs Fixed Recovery

What is the Difference between Auction Recovery CDS and Fixed Recovery CDS?
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0answers
19 views

Manually calculating and backtesting VaR and CVaR from DCC-GARCH R

I estimated a GARCH fit to the log returns of three series (CAC 40, a french real estate index and french T10 bond yield series) using rugarch. I then manually ...
2
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0answers
51 views

When to remove a trading strategy?

Every strategy has a limited lifespan. How do you decide when to stop a particular strategy as it has lost its edge? Few of things that can be thought is strategy crossing its maximum drawdown, net ...
1
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1answer
34 views

Understanding Front-End Spreads (terminology, lingo, convention)

Would appreciate a clear explanation as to what the OIS/Tsy spread and the TU OIS spread is. I've seen it being talked about in Wall St research reports but can't seem to find good explanations on ...
5
votes
1answer
118 views

When would open interest equal trading volume?

I know the difference between open interest and trading volume. Open interest is the number of contracts, long or short, outstanding. Trading volume is the number of contracts traded in a day. ...
1
vote
1answer
44 views

Duan (1995) GARCH Option Pricing Model with MATLAB

I found a MATLAB code online (on Volopta) that replicates the option pricing model proposed by Duan in his paper "The GARCH Option Pricing Model". However, the parameters estimated in the file do not ...
1
vote
0answers
31 views

Difference between spread duration & IR duration for a fixed rate bond

I am struggling to comprehend the difference in impact between spread duration & IR for a fixed rate bond when yields move. I know that both measures would be the same for a fixed rate bond but ...
3
votes
0answers
44 views

Using transaction data to predict default of the customer

I am trying to build a prediction model that utilize the huge transaction database of all the customers of a bank. My dataset currently looks like this: ...
1
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0answers
53 views

What is the name of these digital basket options?

Consider a basket of correlated assets $(S_1(t),\ldots, S_N(t))$, as well as a vector of strike prices $(K_1,\ldots,K_N)$, and let's look at the following European payoff types: An option that pays 1€...
1
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0answers
38 views

Calibration using only strike price

I have a binary option and want to calibrate it's BS pricing model. I only have a series of Strike Price vs the Option price, no knowledge on time to maturity, volatility, risk free rate or the ...
2
votes
4answers
288 views

Px last in Bloomberg

This is my first post to this forum. I want to calculate security returns , so therefore, I have downloaded the PX last price from Bloomberg. My question is: What is PX last in Bloomberg? Is this ...
-2
votes
0answers
54 views

Problem with plot using utils - use cookbook quant finance EONIA curve bootstrap example

I have problem using utils/python_utils function in Python Quantlib. Code is mostly follow CookBook for Quant Finance for Quantlib - EONIA Curve Bootstrap Chapter I imported python-utils, and utils at ...
4
votes
2answers
120 views

Comparing Investment Style with Fama French 3 Factor Model

How do you evaluate this? I have tried searching online but there are no matching results. Is it just a simple average of the 3 Betas? And how do we determine the investment style aggressiveness? In ...
3
votes
1answer
72 views

Arbitrage free in a Black-Scholes/Poisson model

I am trying to solve the following exercise from Bjork's Arbitrage Theory in Continuous Time: Consider a model for the stock market where the short rate of interest $r$ is a deterministic ...
-2
votes
0answers
24 views

Finding payoff and profit [on hold]

Consider a European call option on a Microsoft stock with an exercise price of 20 dollars. Assume that the expiration date is in four months and the price of the option is 5 dollars. The current stock ...
1
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0answers
38 views

Quantlib Python OISRateHelper using Quantlib Cookbook - hands on Quant Finance

I am completely new to Python, just trying to reference Quantlib Cookbook to construct eonia curve, here is my code. I didn't change much compared to the cookbook Eonia Curve BootStrapping chapter, ...

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