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Rigorous formula for adjusted close price

I'm a mathematician who is new to the stock market, and I'm hoping to shine a rigorous light on a simple example of adjusting close prices for, say, dividends. Let time $t$ represent today. Say that ...
• 21
45 views

Precision issue of dividend adjustment

I'm having an issue with calculation of dividend adjusted prices as I have some mismatches with adjusted prices on other data sources. For example, here is a day when dividend ex_date of IBM happened: ...
• 101
1 vote
145 views

Convexity Adjustment for Average Rate IRS

Suppose that one want to price an Interest Rate Swap with daily averaging, i.e. the floating leg looks like Floating~Leg = \sum\limits_{i=1}^N P(T_i)\cdot\frac{\sum_{k=1}^m F(t_k, t_k+\delta)}{m}, ~...
• 853
46 views

What happens to options on a SPACs unit class post deal closure?

SPAC unit share classes are typically structured as following: Unit = Stock + (1/5) Warrant When the SPAC deal closes the ticker changes and the unit converts to ...
• 2,131
1 vote
601 views

Work out example of Valuation adjustment

Currently, there are many valuation adjustments for the fair price of a derivative instrument, when pricing is based on RFR. One of such adjustment is ...
• 383
1 vote
164 views

Currency of CDS and adjustment of interest rated for country risk

I have question concered currency of the CDS spreads. In the analysis I am conducting, I perform adjustment of interest rates for country risk (CDS could be a reference to reflect a country risk). ...
• 11
314 views

Which convention drives what the result of "30 august 2017 + 6M" should be?

If I use c#'s AddMonths method, "30 august 2017 + 6M" will give "28 february 2018" (as the latter is the last day of the february month in the non leap year 2018). ...
• 113
339 views

Keep Saved IB Historical Data Accurately Adjusted

How have you dealt with adjusting saved historical data, specifically using the IB API? As far as I can tell, currently, I need to perform the calculations described on Quandl's blog. I haven't ...
3k views

Why is there a convexity adjustment if the payment date differs from Libor end date?

A 3 month LIBOR that fixing at $T$, paying in 3 months does not have a convexity adjustment. However, 3 month LIBOR fixing at $T$, paying in 6 months needs a convexity adjustment. How is this shown ...
1 vote
1k views

What are necessary adjustments to returns in CRSP?

I guess this is a pretty straight forward and basic question. I am using the entire CRSP universe from 1962-2016 and my goal is to replicate a research paper. However, I realized that the average (...
6k views

Close or Adjusted Prices when Backtesting

I've been doing this for some years now, but recently, since I started fiddling around with an old pairs trading strat of mine again, when updating the databases before running the tests, I was ...
8k views

What continous adjustment methods are firms using for futures backtesting?

There are several methods available between data vendors and associated software programs to adjust futures contract data for historical simulations. Some of the methods are: 1) Back or forward ...
• 775
7k views

Total Return measurement paradox w/ Adjusted Close Prices

Using total return calculations is critical in developing security selection models. The standard way to measure total return is to develop a series of price-adjusted data. Investopedia describes the ...
• 13.5k
20k views

Any known bugs with Yahoo Finance adjusted close data ?

Yahoo Finance allows you to download tables of their daily historical stock price data. The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a ...
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