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Questions tagged [codes]

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1
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1answer
36 views

How many decimals of accuracy can I expect from FDM and MC (both valuation and risk)

I have implemented some Monte Carlo and FDM code. I can then get greeks by bumping. I am comparing to to exact formulas of price + greeks, and am wondering how many decimals of accuracy I can expect ...
1
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1answer
193 views

Implementing the Sharpe's return-based style analysis on Python

I am trying to implement the Sharpe's return-based style analysis on Python. The problem is formulated as follows: ...
2
votes
2answers
325 views

Mapping I/B/E/S to Compustat via 6-digit CUSIP

I am trying to link Thomson Reuter's I/B/E/S dataset with Compustat. Both I obtained via WRDS. The only halfway useful info I could find was on a two year old forum post, which suggests to go through ...
1
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0answers
44 views

Financial instrument code crossreference

Is there some source to have a XREF of various instruments codes as used by different providers ( IE Reuters Bloomberg others ) as well as ISIN, are there some sources/strategies already in place?
2
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0answers
415 views

Code for quasi-Gaussian model (Cheyette model)

I'm looking into the quasi-Gaussian model with linear local volatility as explained by Andersen and Piterbarg (Interest Rate Modeling, Volume 2). I'm trying to calibrate this model and implement it. I ...
0
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1answer
885 views

Matlab code for equally weighted portfolio

I have daily returns of 10 stocks. I need to construct an equally weighted portfolio that goes long in the 3 highest returns and short in the 3 lowest returns. The portfolio needs to be re-balanced ...
14
votes
2answers
2k views

Is there a website that lists replication code of financial papers?

There are lot of questions on this website related to the replication of the empirical part of financial papers. I noticed that some (honest) authors provide on their personal website some ...
1
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0answers
200 views

Monte Carlo simulation of Multifractional Brownian Motion in MATLAB

Code under is taken from http://en.literateprograms.org/Monte_Carlo_simulation_(Matlab) ...
2
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0answers
2k views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
3
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2answers
4k views

Python code to download historical firm data

I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
2
votes
1answer
1k views

Is Reuters Instrument Code (RIC) case-sensitive?

Someone in my organization claims that RIC codes are case-sensitive. So for example: SPXi201420000.U does not refer to the same instrument as ...
0
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0answers
135 views

Stochastic Volatility for Stocks, FTSE

Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...