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Precise calculation of the last price

This might sound like a rather trivial question but how exactly is the last price in a market (let's assume stocks) quoted? "The last transaction" is not really precise. Let's assume there is a ...
freistil90's user avatar
1 vote
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362 views

What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
babelproofreader's user avatar
1 vote
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159 views

FX Volatility surface bid/ask

I have bid/ask vols (straddles, risk-reversals and market strangles) for FX pairs, I want to create a mid/bid/ask volatility surface in strike/maturity space after a consistent smile calibration ...
BrownianBread's user avatar
1 vote
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162 views

Bond liquidity: why do I observe constant bid-ask spreads?

I hope you can help me. I want to use the bid-ask spread of prices for 10yr treasury notes as a proxy for bond market liquidity. I got monthly aggregated bond price data (for yrs 1999-2013) from ...
neo_one's user avatar
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1 vote
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Which rate have to be considered by using multiliteral netting?

I do have a netting structure consisting of four companies (A,B,C,D) and a netting center. The center also takes place in the netting process. The netting center uses the EUR as currency. Company A ...
Irgendw Pointer's user avatar
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Setting Bid-ask for option forward-type strips

do you know if there is any methodology on how to define spreads when fx option market maker is trying to quote for exaple various fx forward strip strategies? From bbg ovml or software which we are ...
Kos3_'s user avatar
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