Questions tagged [calculation]

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2
votes
1answer
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 ?
4
votes
1answer
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 ...
2
votes
1answer
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. (<...
1
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2answers
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 ...
1
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0answers
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) ...
2
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2answers
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 ...
2
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2answers
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), ...
2
votes
1answer
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 ...
1
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1answer
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 = ...
1
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0answers
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 ...
4
votes
1answer
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 ...
1
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3answers
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/...
1
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1answer
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 ...
1
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0answers
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 ...
0
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0answers
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....
3
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2answers
488 views

Verifying an identity of an equation for Black Scholes formula

I just started working on the Black Scholes formula with help of the book Financial option valuation by Higham. Apparently you are possible to derive the following function: $\log(\frac{SN'(d_1)}{e^{-...
5
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1answer
306 views

How to calculate Skulls Financial Turbulence for one asset?

I have just read this paper http://www.cfapubs.org/loi/doi/abs/10.2469/faj.v66.n5.3 In the paper they define financial turbulence formula as: Could anyone help me calculate/understand this formula, ...
4
votes
3answers
5k views

How do I calculate approximate equity liquidity?

I am a developer rather than a quant. I need to decide whether a given equity passes some basic liquidity threshold. It doesn't have to be precise, just good enough. I have a Bloomberg terminal data ...
1
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0answers
843 views

How to calculate beta against a multi-asset benchmark

Lets say that I have a benchmark, $BM$ that consists of 3 assets- 30% asset $A$, 30% asset $B$ and 40% asset $C$. Now, lets further assume I am trying to construct a portfolio that uses $BM$ as its ...
0
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3answers
192 views

Calculation of weekly P/E ratio

The P/E-ratio is defined as $$ \frac{\text{Market value per share}}{\text{Earnings per share (EPS)}} $$ I have weekly observations of stock prices, but what measure should I use for EPS? Should it ...
1
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2answers
110 views

How to calculate burnrate?

Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...
4
votes
1answer
198 views

Why does regression capture differences in volatility?

I read the following statement in the book python for data analysis, chapter 11, and I was wondering if someone could give me intuition about why regression has this effect? The purpose of the ...
-2
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2answers
117 views

What is the most amount of money the consumer would be willing to pay to play take this gamble?

Suppose a consumer has log-utility over wealth, defined by $u(W) = \ln(W)$. Suppose this consumer has $100$, and is considering taking a gamble in which the consumer flips a coin, and gets $20$ she ...
8
votes
2answers
609 views

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 ...
2
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0answers
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 ...
2
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1answer
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? ...
13
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6answers
32k views

How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)

I am looking for one line formula ideally in Excel to calculate stock move probability based on option implied volatility and time to expiration? I have already found a few complex samples which took ...
26
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10answers
18k views

Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?

What are the advantages/disadvantages of using the arithmetic Sharpe Ratio vs the geometric Sharpe Ratio? Is one more correct? Or is one better in certain circumstances?