# Questions tagged [calculation]

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70 views

### i have an option derivative question

please show that the call and the put share the same vega, i.e., please prove the following equality. do we derive the call and put equations ?
66 views

### Overall CAGR calculation

I'm one of those data analysts who doesn't have a MBA, so I'm still figuring out the basics of finance as work gets assigned to me. Here's the exact wording I was given: What's the unit cost ...
74 views

### Computing T-Bill Yield across leap year boundary

Consider this T-Bill (912796TE9) that was purchased on 2019-10-30 and matures on 2020-02-06: I'm trying to work through some of the basics of the yield calculation. The days until maturity is 99. (<...
83 views

### How are returns on Bond Funds (or ETFs) calculated?

For example, if we consider the fund "iShares Core U.S. Aggregate Bond ETF (AGG)", I am trying to figure out how the yearly/Monthly returns are being calculated. I extracted the historical NAV values ...
27 views

### Understanding how to calculate Hedge Fund Net Asset Value (NAV), and getting a better grasp of the business purpose of a Hedge Fund NAV [closed]

Sorry if I sound naïve, but I'm new to the financial field(especially new to quantitative finance). I've seen 2 types of definitions for NAV when I search the internet. NAV = (Assets - Liabilities) ...
219 views

### Probability Density Function sign problem when using Call Price

Given the call price $C_t = e^{-\int_t^Tr(s)ds}\int (s-K)^{+}\phi_{S_T}(T,s)ds$ we know that $$\frac{dC}{dK}=-e^{-\int_t^Tr(s)ds}\int_K^{\infty} \phi_{S_T}(T,s)ds$$ Now when I use dirac delta ...
144 views

### Estimating realised gains given growth rate and churn

If one can estimate that the value of an investment portfolio will grow at $g$% per annum, and can estimate that approximately $c$% of that portfolio will be churned each year (sold and reinvested), ...
157 views

### Annualising Data

I have a 3 year performance track record of monthly returns. I am trying to calculate the Sortino Ratio, Information Ratio, Treynor index etc. In calculating the Sharpe Ratio I have multiplied the ...
210 views

### Multi year performance evaluations [closed]

first question here on StackExchange; I would value your help, I am on excel working with a 3 year / 36 month investment performance. I am calculating the Sharpe Ratio as follows; Cell KV32 = ...
50 views

### Trouble calculating the Dow Jones Industrial Average

I can successfully calculate the Dow Jones closing price by taking the sum of closing prices of the 30 component companies. However, using this same method, I'm unable to calculate the correct opening ...
355 views

### Discrepancy between total shareholder return and return calculated using adjusted share price?

I'm trying to understand a difference I'm seeing between the return I calculate using adjusted close price and the total shareholder return with dividends reinvested (TSR) I get from Bloomberg / this ...
935 views

### PRIIPs Stress Scenario for Category 2

I know this topic has been on the table before, but I haven't seen a clear explanation with an example. I have successfully calculated the previous steps in https://esas-joint-committee.europa.eu/...
33 views

### Calculating the ideal initial capital value to optimize a growth model

I'm trying to work out a method for finding the initial capital value that allows someone to run out of money at the exact time they reach mortality. Currently, I'm graphing the annual total capital ...
998 views

### How to calculate monthly Return from a Momentum Strategy with overlapping Holdingperiods?

I replicate a Momentum Strategy from Rey and Schmid (2007) "Feasible momentum strategies" based on the idea from Jegadeesh and Titman (1993). I only buy the single stock with the highest past return ...
327 views

### Ideas for speeding up greek calculations

My current calculations using the vollib library averages 0.5 seconds. Is there any way to get it faster? Any tips/best practice notes will be helpful. This is for a scripting language such as python....
488 views

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### How to interpret beta meaningfully?

Although this is probably a basic question, this is probably also the right forum to post it in :) I thought I understood beta, but know I am really confused... The beta between my portfolio (weekly ...
832 views

### Fixed Income Var calculation

I'm trying to calculate var for a portfolio of fixed income securities. I initially want to just calculate undiversified VaR for each instrument. I'm doing the following for each instrument Take ...
2k views

### How to calculate implied volatility and greeks in Bull Put Spread option strategy?

Ok, obviously I am buying lower strike put and selling higher strike put. What is the recommended volatility and greeks to consider in my trade? Volatility: Average volatility between both legs? ...