# All Questions

12,472 questions
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### Calculating PD of commercial bank loan

I have two main options to calculate PD of a loan in a commercial bank; with and without machine learning. On one hand, there are traditional methods such as Merton or KVM. On the other hand, I could ...
49 views

### Why don't we build the discounting curve and projection curve from bonds

We know that we always build the discounting curve and projection curve from money market instruments, index Futures, interest rate swap and OIS Libor swap (depends on the period). But why don't we ...
58 views

### Leverage constraints

I am trying to complete my project on Mean-Variance Leverage Optimization, and I have found lots of helpful advice on this forum. I wanted to ask you if you have some idea on how to implement a ...
147 views

### Pricing under risk-neutral probabilities for weird derivatives?

I would really appreciate some help to value a weird derivative that I've found in an assignment: $$X=(S_{T_1}-k)^{+} = \max(S_{T_{1}}-k;0)$$ which expires at time $T_{2}$ and uses the price at ...
25 views

### How to apply multiplicative price seasonality to bond prices in quantlib?

Can someone please give a brief or any link which explains how to apply multiplicative price seasonality to inflation linked bonds in Quantlib using python modules. Have gone through most of the ...
51 views

### Does Vasicek interest rate model had any derivation that follows from a list of assumptions?

I can't find that anywhere online and It doesn't seems to me that this model originated come from intuition or some human motivation but rather it is coming from computerized curve fitting as all the ...
76 views

### In-sample volatility measurement

I would like to know what is the most reasonable way to measure volatility in a sample of past observations. Aside from standard deviation, are more complex models like GARCH used for (historical) ...