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Questions tagged [finance]

Finance describes the management, creation, and study of money, banking, credit, investments, assets and liabilities as well as the systems to handle these instruments.

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Computing the price of a zero-coupon bond [closed]

I'm given the following exercise: Question 1: Suppose that CHF-USD spot and forward exchange rate are as follows: Spot: 1.00 90-day forward: 1.06 a) Supposing that the forward contract is correctly ...
letmethinkaboutit's user avatar
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1 answer
70 views

Securities lending vs repo transactions

I have recently started on a repo/SBL trading desk and I am struggling to understand some theory. Normally, in a secured hard-to-borrow secured transaction, I pledge general collateral, receive the ...
jasonsmyth13's user avatar
3 votes
0 answers
49 views

Tiering value in RFQ

I was wondering what are typical strategies employed by market making firms to calculate the tiering value of each client. So when a client create an RFQ, the market maker after calculating the BID/...
missing_name's user avatar
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1 answer
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Is End of Month (Eom) Rule overrides Unadjusted convention rule in Quantlib?

Concerning the post Is End of Month (Eom) Rule overrides convention rule in Quantlib Schedule? I noticed that with Unadjusted convention has the same behavior. Is this wanted? For example, with Target ...
Alessandro Ruo Bernucchio's user avatar
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17 views

Looking for good data source for back testing and Monte Carlo [duplicate]

Does anyone know of a freely available data source that will have American and foreign stocks, mutual fund, and ETF info including stock's histories of paying dividends, PTB and PTE ratios, as well as ...
Hart Deer's user avatar
1 vote
0 answers
43 views

Autocall Selling Process [closed]

I'm new in structured products and I need some help for understanding some stuff on autocall. When a client gives his money to the bank for investing in an Autocall, this money goes in a ZCB and in ...
Simon's user avatar
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23 views

Where to get Historical Options Data [duplicate]

Where can I find the historical Options Data of Bank nifty? By historical I mean more than 1 year.
Aniket Surve's user avatar
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0 answers
51 views

Currency pair change

You are long 500 USD on EUR/USD. It drops by 2 points, what is your position? Now it goes up by 2 points, what's your new position? I saw this question on glassdoor for a company's interview page. I ...
quantrader23's user avatar
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97 views

Positive Theta for an At The Money option (with real data)

Ive been doing some work on looking at historical options prices on a stock index using real data, and I came across an odd example that I cant really get my head around. I am aware that for extreme ...
Arron's user avatar
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1 answer
70 views

How does the isInArrears affect the quantlib IborLeg? [closed]

Deal details ...
Roshan Yadav's user avatar
1 vote
0 answers
74 views

Reserves using Thiele differential equation

I am trying to solve the Thiele differential equations $$ \frac{d}{dt}V^1(t)=r(t)V^1(t)-b^1(t)-\mu_{12}(t)(V^2(t)-V^1(t))-\mu_{10}(t)(V^1(t)) \\ \frac{d}{dt}V^2(t)=r(t)V^2(t)-\mu_{21}(t)(V^1(t)-V^2(t))...
idlatva's user avatar
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2 votes
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How to read off a fixing from a swap curve?

Let $F_t(T_1, T_2)$ be the forward swap rate at time $t$ from $T_1$ to $T_2$. Consider a swap that fixes at time $T$, with effective date at time $T + 2D$, and payment date 6 months later at $T + 2D + ...
JakcieJnr's user avatar
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53 views

Power-utility function for calculating Certainty equivalent

I have a question regarding how i should calculate 3.2-3.4, currently studying for an exam. What i don't get is how to acctually derive the certainty equivalent from the expected utility of gross ...
Jens's user avatar
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0 answers
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Standard practice to round values in ARM loans

I have an application that calculates payments schedule of ARM (Adjustable Rate Mortgage) loans, where these loans are in the books of commercial banks. It seems to work fine, with the exception of ...
ps0604's user avatar
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Barrier Reverse Convertible on interest rate

I'm trying to find the price of an barrier reverse convertible on interest rate - https://structuredproducts-ch.leonteq.com/isin/CH1251797945. I have simulated the underlying interest rate by Vasicek ...
ballastexitenz's user avatar
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1 answer
175 views

How to obtain a complete list of US stock tickers using Alpha Vantage?

I am trying to obtain a complete list of US stock tickers using the Alpha Vantage API. I have obtained an API key from Alpha Vantage, but I am unsure of how to properly make the request to get the ...
0alessandrocicalese0's user avatar
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0 answers
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Analyzing the Impact of S&P Volatility Shift on ATM Straddle Sale: Calculating Loss/Gain[black scholes]

Black scholes:The 1-month implied volatility of S& ;P is 16. The slope of the skewness curve is -1 point per 1%; For example, the 99% exercise trades at a premium of 1 vol point. regarding the ...
Alexander's user avatar
1 vote
1 answer
125 views

replicating momentum strategy - Formation Periods

I am trying to replicate the momentum strategy of the study by Jegadesh and Titman (1993) onyl using data from the past 10 years.I am trying right now to calculate the formation period returns. But I ...
Vici's user avatar
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0 answers
49 views

How to express the price of an FRN using its duration and interest rate difference?

Where: $P_F$: Current value of the floating rate bond $D$ : Duration of the floating rate bond $R_F$: Interest rate of the floating rate bond $R_I$: Interest rate of the fixed-rate bond $P_I$: Value ...
FSH's user avatar
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1 answer
472 views

Difference between two Bloomberg codes SIX Market

23 Bloomberg always have two codes for the same instruments. For example, for CIE CIE FINANCIERE RICHEMO, Bloomberg has CFR SE and CFR SW. I am wondering what is the difference between these two codes?...
Deborah Callegaro's user avatar
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61 views

Commercial bank mortgages schedule calculation

I need to calculate the schedule of a fixed rate mortgage and an adjustable rate mortgage. Is there an open source library, preferable in python, that already makes these calculations? I tried ...
ps0604's user avatar
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0 answers
62 views

Is there another method besides DCF to evaluate a fixed-rate bond?

I am a beginner who recently found a job in the FICC sector. My superior gave me this question to think about: 'We have a bond with a 5% coupon rate and a maturity of 10 years, and the discount rate ...
FSH's user avatar
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4 votes
2 answers
491 views

Calculation of Cashflows Using ISMA Day Count in Fixed-Rate Bond

I'm working with a fixed-rate bond in QuantLib, and I have set the day count convention to ISMA, but I would like to understand how this specific day count convention is used in the calculation of the ...
Roshan Yadav's user avatar
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0 answers
22 views

How do I find daily expected portfolio return that has both short and long assets?

For example, let's say we have 3 assets (A, B, C) with weights (0.3, 0.3, -0.4). Hence the portfolio is 20% net long. Assets have daily price returns of [[0.01, -0.02], [0.03, 0.04], [-0.01, 0.03]]. i....
James's user avatar
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0 votes
1 answer
49 views

Need Guidance on Analyzing Financial Data Across Multiple CSV Files in R [closed]

I'm new to R but experienced in Stata. I'm working on a research project involving 39 countries, each with 100+ years of daily financial data (date, high, open, close, return), along with USD exchange ...
Levi Lindhout's user avatar
2 votes
1 answer
59 views

Is market data api subject to regulatory controls?

I have noticed that many (also paid) market data Apis provide incomplete or sometimes even completely wrong market data. Now I have noticed that almost all providers write in the terms and conditions ...
Martin132's user avatar
1 vote
0 answers
73 views

What is the closed-form solution for the PV of the following series? [closed]

I have the following exercise, where a closed-form solution is needed for the PV of the cash flows. The teacher's solution is the following: But I fail to understand how exactly we get to it in the ...
Delia's user avatar
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1 vote
0 answers
74 views

Finite Difference Application

We all know that the traditional BS equation is: $$\frac{\partial \mathrm V}{ \partial \mathrm t } + \frac{1}{2}\sigma^{2} \mathrm S^{2} \frac{\partial^{2} \mathrm V}{\partial \mathrm S^2} + \...
Eduardo Contreras's user avatar
0 votes
1 answer
230 views

Is End of Month (Eom) Rule overrides convention rule in Quantlib Schedule?

...
Roshan Yadav's user avatar
0 votes
1 answer
116 views

PIP Value conversion - How can I convert my Pips? general formula [closed]

So I was wondering, how I can convert for example a 20 pips charge is(Spot: 1.0250 with pips 1.0270) on EURUSD into EURCNH Pips with (Spot EURCNH at 7.3005). Is there a general formula and short-cut? ...
Mostdoisneverdone's user avatar
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0 answers
110 views

Calibration for CIR Model Discretization for Predictor Corrector and Milstein method

I'm new to Quantitative Finance. I've data which I need to fit a CIR model and estimate its parameters. $ dX_{t+1} = a(b-X_{t})dt + \sigma \sqrt{X_t}dW_{t} $ While I can fit and obtain ...
Vignesh 's user avatar
0 votes
0 answers
58 views

Formula to convert Bloomber ticker to ISIN, RIC or Factset ticker [duplicate]

I want to convert Bloomberg tickers (for equities) that to either of ISIN, CUSIP, RIC, Datastream code or Factset Ticker. I don't have access to Bloomberg but say if I just want to convert Bloomberg ...
financialgeek's user avatar
1 vote
2 answers
234 views

I can’t understand why the premium of two butterflies with same strike but different broadness are approximately the same

Consider the following premiums of calls option with different strikes. C90 = 57.35 C95 = 52.55 C100 = 47.3 C105 = 42.9 C110 = 38.25 In this case, the butterfly 90-100-110 cost 1 and the 95-100-105 ...
Alexandre Borel's user avatar
1 vote
0 answers
33 views

Is "extreme CVaR" (CVaR from extreme value theory) elicitable or conditionally elicitable with some other statistical mapping (like VaR)? [closed]

I am not able to find loss function (scoring function) extreme CVaR (CVaR from extreme value theory) which is a conditionally elicitable statistical mapping (conditioned on VaR). In this regard, can ...
Moiz Ahmad's user avatar
0 votes
0 answers
48 views

What does structured estimator mean?

I'm reading Ledoit&Wolf's paper "Honey, I shrunk the sample covariance matrix" and it is mentioned a lot of time, but I don't understand what it means. I thought that probably referred ...
Silvia Grasso's user avatar
0 votes
1 answer
259 views

Is there any way to get cashflow amount including cashflow date in QuantLib?

...
Roshan Yadav's user avatar
3 votes
1 answer
350 views

Volatility Modelling negative GJR-GARCH-X coefficient

I have estimated GARCH and GJR-GARCH with several exogenous variables. Some of the exogenous variables have negative coefficients that are statistically significant. For instance, I can write my GJR-...
Moataz's user avatar
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0 votes
1 answer
139 views

Vol binomial tree

Suppose that we have a stock $X_t$ valued at 100 euros per share. At each time step the price can go up or down 1 euro with prob $1/2$. Assuming that interest rates are $0$ and the volatility of the ...
Samantha Smith's user avatar
0 votes
0 answers
30 views

How to calculate the portfolio risk and return if daily share prices, volume held on that day is given for all assets?

The problem is with the changing volume of assets which changes the weights. I want to use the formula for portfolio risk but cannot figure out the weights. Should taking average weight of an asset ...
Rajat Kumar's user avatar
-1 votes
2 answers
74 views

How should we interpret r_c in continuously compounded interest? [closed]

I'm just curious there is any useful "meaning" or interpretation we can assign directly to $r_c$. Of course one can directly calculate the non-continuously compounded interest from $r_c$, ...
uncreative's user avatar
0 votes
1 answer
111 views

Balance sheet offset to a Prepaid expense amortization

The generally accepted accounting equation is Assets = Liabilities + Equity, or, put simply, stuff owned = stuff owed. I can see how Prepaid expenses are zero-sum assets initially because the credit ...
panzax's user avatar
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0 votes
2 answers
95 views

Correlation with Differ Units of Measurement [closed]

I was wondering how to accurately get the correlation between a variable of percent change return and a variable of dollar change or basis points. Should I standardize both variables or will that lose ...
Deepankar Joshi's user avatar
1 vote
1 answer
238 views

How do you find the corresponding market index of a stock?

If I have a stock, we say MSFT, and I want to find its corresponding market index - how do I do this? I thought I needed to start by finding out which index the stock, in this case MSFT, is included ...
user62533's user avatar
0 votes
0 answers
35 views

How to calculate Share Price based on Outstanding Shares of $ATVI?

I am looking at the latest 10-Q SEC Filing of ATVI stock (March 31, 2022). (RefLink: https://investor.activision.com/sec-filings/sec-filing/10-q/0001628280-22-011987) The Balance Sheet states the ...
THausl's user avatar
  • 1
0 votes
0 answers
97 views

How to measure the difference between the trend of two curves

I'm looking for a way to measure the trend of two curves. For example, the figure below is my forecast for the S&P 500. It can be seen that although I haven't predicted the exact index price, the ...
MoTianao's user avatar
1 vote
1 answer
172 views

Vasicek interest rate of T-forward measure [closed]

I know dr of risk-neutrual measure is There is a price of a pure-discount bond can be derived by computing the expectation, I get: where A and B are: why dr becomes to: under T-forward measure?
Sean's user avatar
  • 11
1 vote
2 answers
1k views

Automatically Import Stock Data - Yahoo Finance & Microsoft Excel

How to import Growth Estimates: Next 5 years(per annum) from yahoo finance to microsoft excel?
Tony's user avatar
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0 votes
0 answers
26 views

What exactly is revenue leakage?

I just found out about the term revenue leakage in the paper linked below. However, this paper and other resources mentioning it do not provide a definition of the term. However, for my thesis I ...
2stefan2000's user avatar
1 vote
0 answers
157 views

Questions on the calculation of time series momentum

I read Moskowitz, Ooi, Pedersen's Time series momentum (2012). The ex-ante volatility estimate (equation (1) in the paper) is I am not sure about the period of the return reflected in the volatilty ...
Yoosang  Lee's user avatar
1 vote
0 answers
61 views

Hedging large single asset positions

I recently came across an article that described how big market participants like GS, JPM, etc. take off large equity positions (block trades) of their clients, and putting that risk on their own ...
rekrob's user avatar
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