# All Questions

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### Deriving the greek Theta from Black-Scholes formula

I am deriving all greeks from BS, im just stuck at theta and im confused about it because depending on the page or forum i look at i see different formulas some shorter than others. Using the formula ...
135 views

### How is this greek calculation meaningful?

For a swaption, the "Pricing And Hedging Of Swaptions" paper by Akume et al (2003) says: I get that he's just taking the derivative of the swaption valuation formula (which is N * A * ...
23 views

### simulation of stock prices paths

in my work I want to run a monte carlo simulation for stock price paths in high-frequency framework. is it reasonable to set the initial midquote of the bid-ask prices equal to the initial stock ...
35 views

### Floating side value of a swap [duplicate]

I have some trouble to understand on valuing the floating side of a swap. In my book, the value of floating side at the time t is; $$P(t,T_0) - P(t,T_n)$$ Where $$P(t,T_n)$$ denotes the value of ...
34 views

### Trading term structure of skew

Is there a way to trade IV skew between two maturities? For example, bull put in near maturity and bear put in far maturity.
41 views

### Nonlinear Dynamics in Finance [closed]

I would like to know whether studying nonlinear dynamics and control is useful or not for quantitative finance and which are the main applications of this field in the financial framework.
1 vote
56 views

51 views

### Test significance for information ratio

Suppose that we have an estimated Information Ratio $IR^*$ calculated from the relative returns between a portfolio and a benchmark. I am looking for a way to quantify the uncertainty of this ...
34 views

### How to construct the probability of default (PD) with not much historical data (<1 year)?

If a financing company has a new funding program, is there a statistical method that can be used to construct a probability of default (PD) for IFRS 9 ECL calculation purposes? Considering that ...
93 views

### S490 curve: Bloomberg zero swap curve calculation [closed]

I have given a task of replicating ICVS S490 swap zero curve of Bloomberg. Unfortunately, even though I get close numbers using their white paper, I am not able to find the way that they are getting ...
4k views

### What are some factually incorrect quantitative finance answers generated by AI?

One question and AI-generated response per answer. Community wiki flag and an explanation of why the AI response is wrong are encouraged. The AI program can optionally be identified. Including the ...
137 views

### Repo/Fwd/Spot/Bond Futures

I have a slight confusion with regards to what price the repo rate impacts. Assume the repo for a particular bond richens. My current thought process is, spot should also richen (as now that bond ...
63 views

### Performance Swaps

I am trying to find more information regarding performance interest rate swaps. The only source that I have found so far after digging extensively is the following. However, I am not as satisfied as I ...
27 views

### Computation of CouponLegNPV using IsdaCdsEngine

I've recently been trying to work on and understand the concepts around CDS. By making simplifications (flat hazard rate, flat forward rate), I wanted to compare the values I could obtain by manual ...
56 views

### Genetic Algorithms and Genetic Programming in Computational Finance [closed]

I'm curious if anyone within this community has read "Genetic Algorithms and Genetic Programming in Computational Finance" by Shu-Heng Chen. Would you recommend this book? Additionally, I'm ...
46 views

### How to calculate weighted return of two stock prices? [closed]

I have 2 list of returns A = [0.00538467, 0.04701923, 0.00170811,...] B = [0.00299271, -0.0060228 , -0.07761099,...] I take long position in A and short in B. How to calculate the total return and ...
51 views

### Is there another method besides DCF to evaluate a fixed-rate bond?

I am a beginner who recently found a job in the FICC sector. My superior gave me this question to think about: 'We have a bond with a 5% coupon rate and a maturity of 10 years, and the discount rate ...
1 vote
64 views

### Calibration of Heston using implied vol as $v_0$

I am looking at the difference if you calibrated the heston from market data using objective function minimisation. In scenario 1, I calibrate all the parameters from market data In scenario 2, I ...
261 views

### Calculation of Cashflows Using ISMA Day Count in Fixed-Rate Bond

I'm working with a fixed-rate bond in QuantLib, and I have set the day count convention to ISMA, but I would like to understand how this specific day count convention is used in the calculation of the ...
1 vote