All Questions

0
votes
0answers
4 views

Monthly 1% Dividend bond or mutual fund

Which mutual funds or bonds pay at least 1% dividend monthly.
2
votes
0answers
13 views

Quantitative strategies in the Fixed Income space

I'm looking to learn more about systematic strategies in the the fixed income space, particularly in Rates products (anything from simple cash to inflation or vol). I've been reading a couple of ...
0
votes
0answers
15 views

Hedging Down IRR Shocks

Looking for inventive ways to hedge risk exposure between ATM-150 and ATM-200 rate movements. Thought of a floor spread, and it seems to work fine, but is there anything else that could achieve the ...
0
votes
0answers
12 views

Eurodollar Futures - ED1, ED2 etc. How to build series?

I am looking at Eurodollar Futures contracts and was wondering how to build series ED1 up to say ED20. Let's assume I have data from 01-01-2004. My understanding is that: ED1 - perpetual front-...
0
votes
0answers
16 views

Bid-Ask spreads of Sovereign Bonds in Bloomberg

I'm currently looking to find the historical bid-ask spread for 10 Year Government Bonds and important these into an excel spreadsheet. They are intended to be a proxy for liquidity. Ideally, would be ...
0
votes
3answers
35 views

bayes theorem probability Jar

I am trying to come up with different theoretical answers below. I believe the standard one is based on Bayes theorem, but I am struggling to prove it. A jar has 1000 coins, of which 999 are fair ...
-3
votes
0answers
18 views

Adding argument to ERC function in Python makes it break down

I am using xlwings to implement Python code in Excel. I put the following code in Spyder and imported it into Excel to arrive at equal risk contribution weights for a 7-asset portfolio. ...
1
vote
1answer
29 views

Inherent volatility of selling longterm options and buying short term options

A two-month option has an implied vol of 60%, the corresponding 2-year option has an implied vol of 34%. You buy the short terms and sell the long terms. What is the inherent volatility of the total ...
4
votes
1answer
31 views

Monte Carlo for Asian Pricing

I'm trying to verify the accuracy of my Monte Carlo method for pricing mean options. I came across this paper that supposedly gives an 'exact' solution for the arithmetic mean option (asian). It's a ...
1
vote
1answer
68 views

Should Put/Call Parity result in Zero Return or the Risk-Free Rate?

Sorry in advance if this is a basic question. I'm examining some potential at-the-money put/call arbitrage. What I found surprised me somewhat: ...
1
vote
0answers
27 views

Autoregressive Distributed Lag Models (ARDL) results analysis

When using the autoregressive distributed lag models (ARDL). I usually get a counter intuitive results for the selected lag. For example. when examining the relation between GDP and Foreign direct ...
0
votes
0answers
34 views

High-frequency history of oil prices

It's fairly easy to find daily historical oil prices, but I need the history in more detail, at least hourly. I have access to Datastream, but can't find it there. Is this time series in Datastream? ...
0
votes
1answer
35 views

How to optimize a series of equations whose outputs are a variable of the subsequent equatinos

The basic question is, given $f(x) = y$ and $f(y) = z$, how can you find $x$ such that $z$ is at its maximum? I can optimize each equation independently, but I do not know how to optimize when ...
0
votes
0answers
22 views

How simulate a time series in R with fixed parameters [on hold]

I would like to simulate time series data (250 data points) where I can set a fixed starting value, ending value, mean, variance and CPT value. I did it with VBA but it takes really long to generate ...
0
votes
1answer
50 views

CDS ISDA model/Bloomberg

I am becoming more acquainted with QuantLib as a platform. I've been using both the python implementation and QuantLib XL. As I have started to look at CDS, I would like to know if there is a ...
0
votes
0answers
13 views

Termstrc data preparation from Bloomberg terminal

I am trying to use the R package termstrc to estimate yield curves for the Czech Republic. I have found the structure of the required class ...
0
votes
0answers
27 views

Quantlib-Python: use zero rates to get the originally bootstrapped curve

Let's say I am trying to build a curve using deposits, future and swaps with one of the three Quantlib methods in Python as below: ...
-2
votes
0answers
13 views

Suppliers Lead Time [on hold]

I am calculating the suppliers lead time and I have the following doubt. An order placed today with delivery date March 31, but is actually delivered by the supplier on May 10. The lead time will be ...
0
votes
0answers
16 views

Realised option values. (Beginner in R/ Coding****) [migrated]

I have started playing around with R and quantmod. I want to create a dataset for realised option values on the S&P500 and compare this to the Black-Scholes estimated value for a finance class ...
0
votes
0answers
33 views

Can we generate(in high dimension) uniformly distributed variables in a finite volume other than a cube?

I'd like to know if there is in the literature a (computationally cheap) algorithm to generate uniformly distributed variables in high dimension for a volume other than a cube and without using ...
0
votes
0answers
16 views

Moneyness for Cancellable Swaps

Hi I wanted to know we can assess the moneyness of Cancellable swaps? For example, I have a swap where I am paying the fixed rate and also have an option to cancel this option. How do I assess the ...
-2
votes
0answers
31 views

Overnight Indexed Swaps

How can one enter into a OIS for 1month, when the borrowing is only overnight? Are these punts made or does a trader have to give a Underlying to enter into the swap. If in case the trader does ...
3
votes
0answers
64 views

Kalman Filter for Multiple Regression?

I'm using Kalman Filter to calculate a rolling spread between two asset price series as commonly described by Chan and many others. I would like to extend this regression to the price of three assets, ...
0
votes
0answers
32 views

Random walk with continuous deterministic dividend [on hold]

I am studying the basics of quant finance, and stumbled upon the SDE of a stock price with continuous dividend yield (Wilmott, Equation 3.19): $dS=\sigma S dX+(\mu-q)S dt$ Wilmott says that the ...
1
vote
2answers
61 views

OIS, Fed Funds Rate and Working

I'm a bit confused about OIS. Is OIS the overnight interest rate or is it a swap. If OIS is the rate at which banks lend overnight, where does the swap come in? Don't they borrow at a fixed rate? ...
2
votes
2answers
131 views

Application of Itô's lemma - Forward process

How would be applied the itô's lemma in the following equation: And we know that:
1
vote
1answer
45 views

Call Option Overvalued and put-call parity

I have a question regarding if a Call option is overvalued compared to the call price and how you can benefit from the Arbitrage opportunity. My thoughts are as follows: Step 1: Short the call ...
1
vote
0answers
41 views

Pricing an exotic with barrier at discrete times

How would you price the following option on underlying $S$ without dividends? Time to maturity of option $\tau = 12$ months Option has a strike $K > 0$ and constant barrier $B > 0$. $t_0$ is ...
1
vote
0answers
16 views

Calculating QuantLib IborCoupon with / from given index fixing

How can I calc with QuantLib the coupon amount of a floating rate IborCoupon on the 3M Euribor Index with a given 3M Euribor Index Fixing? If I try the following Python code: ...
-3
votes
0answers
30 views

How closely do option prices correspond to black scholes [on hold]

Just wondering how closely real option prices correspond to black scholes. Any non quantitative answer is useless.
0
votes
1answer
17 views

Raw interpolation when the desired term is out of the know originals

I was reading this paper regarding the yield curve construction and was programming the Raw Interpolation algorithm (page 7 equation 6) however I was wondering how to use the formula when the desired ...
0
votes
0answers
17 views

Delay-coordinate embedding on stock price data

Is anyone familiar with any literature on delay-coordinate embeddings and subsequent calculation of Lyapunov characteristic exponents for regular ole stock price data? I've done a bit of research but ...
-2
votes
0answers
36 views

Free historical CDX data? [duplicate]

I am looking for free historical data on CDX.NA.IG and CDX.NA.HY (all maturities).
2
votes
1answer
61 views

Profit and Loss on delta-hedged portfolio

The overnight profit formula from a textbook (possibly Derivative Markets by McDonald) is the following: $$\Delta _{t}(S_{t+h}-S_{t})-(V_{t+h}-V_{t})-(e^{rh}-1)(\Delta_{t}S_{t}-V_{t}),$$ where Delta ...
3
votes
0answers
18 views

How to perform Shanken (1992) correction for errors-in-variables issue?

I have two questions pertaining to the Shanken correction: The formula of Shanken correction shown in the Cochrane (2001) Asset Pricing book is as follow: $$\sigma^2(\hat{\lambda}_{OLS})=1/T[(\beta^{...
1
vote
0answers
17 views

Extract historic share prices for certain securities at certain points in time with Bloomberg Excel Add-in? [on hold]

In order to create some sort of basic framework for everything we are planning on doing in a research project, we would need to get historic intraday data about share prices at certain points in time. ...
4
votes
1answer
78 views

What is the purest way to get exposure to Jump risk premia, is there a jump swap

So to get exposure to Variance risk premia one could use variance swaps, is there a equivalent security for jumps. Hedging against jump but not diffusion risk could allow one to take targeted exposure ...
1
vote
0answers
44 views

Deliver Futures before last trading day

I found that for the exchange traded Futures, we can deliver the Futures before the last trading day, namely you can sell a Future then deliver it immediately, which definitely has a arbitrage ...
1
vote
1answer
45 views

How do you interpret Level 1 data to a list of transactions/trades?

If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so? Just FYI, it's not a project for school but a problem I ...
2
votes
0answers
86 views

What are some unanswered questions or unexplored areas in financial mathematics? [on hold]

EDIT: Specifically Ito/Stochastic calculus or alternatives to the Wiener process framework itself. Context: This might or might not matter, but I am currently pursuing my MSc in Financial Mathematics....
0
votes
0answers
16 views

Which formula may be used to calculate the ROI of an investment from its cash flow? [on hold]

I'm kindly ask for your forbearance since I'm not an english native speaker and my accountability experience is minimal (I've studied some exam at the university 10 years ago). It's also my first ...
-1
votes
0answers
46 views

Indicator of over and undervalued price stock [on hold]

I know that dilution might be a good way to see if a stock price is overvalued. According to https://www.investopedia.com/terms/d/dilution.asp, dilution is Dilution is a result of a reduction in ...
1
vote
0answers
17 views

Historical options data for FX/FI

I know that my question is quite large and that quite a lot of questions already deal with the options data. However most of questions deal with options on American equity markets. Could you ...
1
vote
0answers
26 views

How can we value NPV for a standard FX Swap?

hope you are all well! Was just wondering how we can value the NPV on the value date for a FX swap - i'm sure it's by evaluating the interest rate payable/receivable from the trade date until the ...
0
votes
1answer
59 views

Reference material (EV/ betting game questions) for Quant Hedge Funds Interviews [on hold]

I need material to practice EV games questions.But I lack practice in betting questions where a set-up of a game is given and one has to respond to the best strategy or best bet to take. A good book ...
1
vote
0answers
23 views

Statistical procedures on comparing the four Asset pricing models [on hold]

I'm a business student and currently writing my thesis on comparing asset pricing models on industry portfolio returns. Being a business student, I lack the knowledge for statistical analysis ; so I ...
0
votes
1answer
62 views

Difference between timing option, end of month option and wild card option of bond futures

I cannot understand the difference between timing option, end of month option and wild card option of bond futures. i think they are all timing options which is optimal delivery. Only difference is ...
1
vote
2answers
71 views

Is it possible to model path-dependent clauses using finite difference methods?

I'm trying to build a convertible bond pricer. In my case a convertible bond is a complex derivative with call, put and conversion price reset clauses, and all of the clauses are triggered in a path-...
2
votes
2answers
48 views

American Option Exercise

Suppose I am a market maker in American options. At end of day I have positions in various options but my portfolio is overall hedged. Now, after the market close, someone decides to exercise an ITM ...
0
votes
0answers
24 views

Bond pricing simulation [on hold]

For a simulation problem I need data on outstanding domestic bonds in the US market. What's an efficient way to gather that info? Just copy-paste it from Bloomberg? Can I export it somehow?

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