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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Complicated barrier options
We have the following contract consisting of barrier options:
If $S_t$ is above the barrier level $B$ during the contract duration, we receive $N\cdot \max (S_T-4.45,0), 4.45>B$ from the
bank, ...
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Do we need a risk premium for the assets in the binomial option pricing model?
Section 1.4 of Mark Joshi's book illustrates with a simple example, the idea that "the market will only compensate investors for [systemic risks]", which are not diversifiable (or) hedgeable....
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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 ...
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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/...
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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 ...
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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 ...
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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 ...
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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.
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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 ...
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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 ...
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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))...
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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 + ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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Difference between two Bloomberg codes SIX Market
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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?...
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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 ...
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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 ...
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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 ...
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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....
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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 ...
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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 ...
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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 ...
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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}
+ \...
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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?
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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-...
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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 ...
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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 ...
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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 $r_c$, ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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?
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Automatically Import Stock Data - Yahoo Finance & Microsoft Excel
How to import Growth Estimates: Next 5 years(per annum) from yahoo finance to microsoft excel?
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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 ...
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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 ...
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