# 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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13 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 ...
33 views

### 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 ...
16 views

### 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 ...
20 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 ...
70 views

### 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 ...
1 vote
52 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 ...
38 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 ...
71 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?...
39 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 ...
59 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 ...
330 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 ...
19 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....
44 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 ...
51 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 ...
1 vote
33 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 ...
1 vote
68 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} + \...
171 views

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91 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? ...
70 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 ...
46 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 ...
1 vote
226 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 ...
1 vote
31 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 ...
47 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 ...
189 views

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236 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-...
1 vote
99 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 ...
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 ...
60 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 $r_c$, ...
45 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 ...
92 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 ...
1 vote