Questions tagged [programming]
For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.
1,130
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Distribution of this test statistics
I am trying to implement this test statistics in MATLAB to inspect endogeneity between efficient price and sampling times . $$ \frac{\sum_{i=1}^{M_n} \bar{Y}_{(i-1)kn+1}\left(\bar\Delta_{(i-1)kn+1} - \...
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QuantLib: Pricing BRL zero coupon swap using relevant attributes in Quantlib
I am trying to price the BRL zero coupon swap. As we know that ZC swaps fixed payer pays a single payment at maturity and the float payer pays the interim payments till maturity. So in this case, ...
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Calibration of Heston model In Python [closed]
Has anyone seen Python code for Levenberg algorithm (Full and fast calibration of the Heston stochastic volatility mode)? Thanks in advance.
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Searching for minute binned OHLCV Cryptocurrency data from 5 January 2018 to 7 September 2018
As the title states, searching for OHLCV data (USD) from the dates listed for these coins:
[ADA, BCH, CVC, DASH, EOS, ETC, ETH, LTC, MANA, OMG, BCN, BTC, CND, DATA, ETP, GNT, NEO, NXT, QASH]
I'm a ...
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125
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QuantLib: How to price or construct a zero coupon swap using Quantlib
I am trying to construct and price the zero coupon swap. However its giving me the AttributeError: module 'Quantlib' has no attribute 'ZeroCouponSwap'.
Please let me know how to price the zero coupon ...
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101
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Find the right module for CDI DI BRL swaps valuation Quantlib
I'm trying to find a way to price BRL CDI Swaps with Quantlib but I can't find any solutions so far - so I was wondering if anyone encountered this issue:
I don't see any solution on Quantlib. I ...
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77
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Efficient Method of Moments(EMM) for Stochastic volatility model
We are attempting to calibrate the parameters of the Heston model via EMM on historical stock price returns. However, we are first trying a simple stochastic volatility model using EMM.
We have come ...
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Lognormal-mixture dynamics and calibration to market volatility smiles
Can someone assist me in replicating the code and results from page 11, Figure 3 of the paper 'Lognormal-mixture dynamics and calibration to market volatility smiles' by Damiano Brigo, Fabio Mercurio, ...
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Implementations of stochastic collocation for Arbitrage Free SABR
I am currently reading this paper (link) on fitting arbitrage free parameters for SABR using stochastic collocation. Are there any publicly available github repos that implement solutions that are ...
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Antoine Savine's store
In his book "Modern Computational Finance, AAD and Parallel Simulation", Antoine Savine writes page 263 in the footnote : "We could have more properly implemented the store with GOF’s ...
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Simulating Hull-White Model in Python
I first simulated the short rate in the Vasicek model using the following code, which is equivalent to simulating the following normal distribution $r_{t} \sim N\left(r_{0}e^{-at} + b\left(1-e^{-at}\...
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Uncertainty on volatility prediction using GARCH(1,1)
I have daily returns data and I predict the variance for the next day using GARCH(1,1) as follows
...
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147
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Extending/Subclassing QuantLib Classes in Python?
I'm using quantlib via the quantlib-python or open-source-risk-engine both on pypi. The question relates whether it's possible to extend QuantLib term structure base classes in python rather than C++....
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Seeking a Model to Extrapolate Locate Fees for Short Selling in Absence of Historical Data
I'm in the process of developing an automated stock trading algorithm, with short selling being a significant part of the strategy. A key factor in deciding whether to short a stock is the associated &...
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Python - yahoo finance options data - volatility smile plot
I have plotted the IV of TSLA options using yahoo options data, but the scatter plot doesn't look right, can anyone advise why the plot looks like this? I would expect to see a vol smile plotted.
EDIT ...
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Determining an Appropriate Locate Fee Threshold for Short Selling Based on Expected Return
I'm working on an automated stock trading program and often consider short selling as part of my strategy. For each potential short sale, there's an associated "locate fee" that I have to ...
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51
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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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From OHCLV dataset to Tick Chart
We are all familiar with time-based candlestick charts, such as 1 Minut, 15 Minuts, 1 Hour and so on.
The dataset is more or less something similar:
...
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1
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97
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Clustering of Maximum Drawdown Values in Monte Carlo Simulations (Jaekle & Tomasini example)
Hope this question isn't too naive. I've been trying to replicate the Monte Carlo method using sampling without replacement as described in the Jaekle & Tomasini book (Trading Systems: A New ...
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115
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Checking short term supply and demand in the stock market
I am implementing a pretty simple market making strategy. I want to see if the demand is higher than the supply in the short term so that I will be able to buy and sell decently fast. My goal is to be ...
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Heston model using YUIMA package
I am trying to estimate a Heston model using the Yuima package, but i am in trouble.
This is my script:
...
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49
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COS method for Wishart Heston Model
NOTE: This code is a piece of code I am using for a master's thesis, so I do not expect someone to do the work for me, but I gladly accept suggestions of any kind.
However, I am trying to get the ...
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105
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Characteristic Function for Wishart Heston Model
I don't know if this is the right place (at most they will close the post). Anyway, I am trying to implement the characteristic function of the Heston Wishart Stochastic Volatility model illustrated ...
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159
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Best practices for building an FX volatility surface with Quantlib in Python
Generally my question is: what are best practices for building FX volatility surfaces with Quantlib?
In FX options, I would like to price structures such as risk reversals, strangles and butterflies.
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148
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Which C++ implementations of Levenberg-Marquardt does the "industry" use?
According to your various experience, is there an industry consensus about which C++ implementation of the Levenberg-Marquardt algorithm to use ?
I came across two places where it was the C numerical ...
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52
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Profit optimal algorithm for market clearing
There is a well known offline profit optimal algorithm for market clearing (matching buy-bids with sell-bids, visit for more details) which is based on bipartite weighted matching. This algorithm ...
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Quanto CDS pricer in Python
I am sales and would like to grasp rough levels of quanto CDS, such as BMW denominated in USD, without askin traders each time. What i'm thinking is to calculte it using Python.
But i cannot build up ...
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Is there any way to estimate a multivariate GARCH-MIDAS model in R?
I'm writing my master thesis in economics, and would like to research the impact of both financial and macroeconomic variables on the S&P500 index. My plan was to use a GARCH model. I've stumbled ...
anders
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68
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PV different from Dirty Price in QuantLib
As far as I understand, dirty price is the sum of clean price and accrued amount and should be equal to the Present Value (PV) of a bond at a certain yield rate. However, I can't replicate this ...
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Commodity forward curve Monte-Carlo
I need to value an Asian commodity option using Monte Carlo and a log-normal model. The inputs are the commodity forward curve and the volatility surface for futures/options expiry. Unfortunately, all ...
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93
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CoVaR/dCoVaR modelling using bivariate DCC-GJR-GARCH
For the several weeks, I have been looking for a way to calculate and display the results of my DCC-GJR-GARCH model to picture a dynamic relationship between daily return of, let's say for example, ...
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ATM cap prices in Vasicek model (Filipovic)
I am trying to replicate the ATM cap prices in table 7.1 (see bottom of this post) from Filipovic's book "Term Structure Models - A Graduate Course" which assume the Vasicek model and uses ...
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227
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Financial software: academia vs. real world [closed]
I am looking for resources (if they exist) that explain the differences between quant finance software in academia and the real world, or explain how quant software is implemented in practice.
For ...
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Uncertain Volatility Model - Option Pricing R code help
I am trying to price the following call option using the UVM method in R.
The code I wrote below keeps producing the same price for the min and max volatilities, which is wrong, however, I can't seem ...
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Curve construction with Python's RATESLIB package
As per the user guide of Python's RATESLIB package (https://rateslib.readthedocs.io/en/latest/i_guide.html#guide-doc), below example is provided to construct a Curve
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For a university project I need the historical number of outstanding shares for all companies currently in the S&P 500
Up until now I have been using the yahoo finance api which provides lots of data already that I can use for my analysis. Unfortunately I need the historical number of outstanding shares for multiple ...
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How to take into account transaction fee of a backtest from a list of returns?
I have a list of booleans that correspond to buy and sell signals that I would like to backtest. To achieve this, I calculated the return ret of a security and when ...
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Why is the NPV of this FX Forward 0?
I've checked similar questions and answers but even after setting the evaluation date in ql.settings I still get zero. Like another poster, I also have the QL cookbook and have read everything I could ...
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QuantLib Python: How to print each caplet/floorlet value, intrinsic value and time value at each fixing date?
I have the following code to price a floor (can also be used for cap), and have been computing the payoff myself, but I think QL can already do this. Since the cashflows I print out aren't correct as ...
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Expanding window with ugarchroll in rugarch in R
I was wondering whether my code is crafted correctly to satisfy this requirement:
use 1:1000 to predict 1001, then use 1:1001 to predict 1002, and so on
rOHLC has a length of 10079
...
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153
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Using bid and ask prices with VectorBT library
I am creating a backtest using vectorbt library. This is my function for all the portfolio metrics:
...
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56
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Can anyone help me to understand why the GMV point is not on the efficient frontier?
I am following a course about portfolio construction with Python. I am able to successfully draw the efficient frontier and capital market line (CML), and the global minimum variance (GMV) point using ...
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QuantLib: Analytical Greeks and Numerical Greeks do not match?
I use the Black Scholes Merton (BSM) model from QuantLib to calculate Call options price and its analytical Greeks. I also manually calculate its Numerical Greeks (Theta, Vega), but the results do not ...
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Garch Model with Vix as external regressor un dummy rugarch r studio
I would like to try to replicate this variance dummied model in r studio, to try to compare garch vs i.v in forecasting vol:
Data : S&P 500 log-return from 03.01.2020 to 31.12.2022
Ext regressor : ...
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248
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Clarifying Parkinson Python Code [closed]
I would appreciate opinions/reviews on whether my python code to calculate Parkinson Volatility index is correct. Thank you very much!
...
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140
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How to test an orderbook using real data
I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
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API for getting past 10 years of P&L data for a particular NSE/BSE stock [duplicate]
I am trying to get past 10 years P&L data for a bunch of Indian companies, but can't seem to find a good API to do so. I have tried yfinance, Alpha Vantage, IEX cloud and a few others. I tried web ...
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Resource recommendations: Levy process estimation using programming languages
Perhaps this type of question is not very suitable for this forum, but I'll try to make my question a little useful.
I'm studying stochastic processes, more precisely, Levy processes. A Levy process $...
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Can the coef be negative in cointegrated stocks?
I'm searching for cointegrated stocks using the Python CointAnalysis library.
While computing stock prices on a 5 mins time frame, I found that the stocks MNST (Monster Beverage Corp.) and KDP (Keurig ...
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239
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Pricing European Call Closed Form Spread Options in Python
I am currently trying to correctly price European Call Closed Form Spread Options using Python. The main problem I am currently running into is that I have nothing to compare the option price so that ...
