# All Questions

12,257 questions
269 views

I am trying to find any references to cross-currency inflation-linked swaps. Have anyone encountered them and can describe how they work and how they differ from standard year on year inflation swaps?
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### Help!! how can do i compute bond price with YTM in python?

Given FV = 1000 coupon rate = [0.01, 0.015, 0.023, 0.038] ytm = [0.016, 0.021, 0.045, 0.065]
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### pricing a fx forward with legs separately

In the answer to this question, it says (simplified) At time $t$, the forward exchange rate $F^X(t,T)$, for maturity $T$, is the exchange rate such that the payoff $X_T-F^X(t,T)$ has a zero ...
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### For using finite difference on PDE, what should the grid be?

If I wish to use finite difference methods to approximate the pricing function $F(t, s)$ for an option (say, a call), what size grid should I use? I mean, it seems to make sense to start the grid at ...
1k views

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### Efficient computing of stock returns taking dividends into account

I have two DataFrames as follows: Dividends: ...
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What are reliable sources to download plain-text files listing current composition of various popular indexes such as S&P 500 (SPX) or Dow Jones Industrials (DJI) or Nasdaq 100 (NDX) ? At a ...
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### Achieving an even distribution of orders in the queue

Market Making under a Weakly Consistent Limit Order Book Model contains the following paragraph "The market maker may achieve her target execution profile by continuously adjusting her limit ...
34 views

### Computing FX forward returns using spot returns and an existing term structure

Sorry for the naive question, I am new to the area. I have YTD spot returns on the USD/GBP pair and a forward yield curve. How would one go about computing the forward returns in 2 years using this ...
195k views

### What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
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### Metric for measuring the “spread” of a copula

I am fitting copula to log returns data for my undergraduate thesis, and comparing the quality of the fit with AIC. One interesting thing that I found is that the Clayton copula, which has negative ...
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### How to hedge x gamma in callable prdc?

How do you hedge the short rates - fx cross gamma in a callable PRDC (Power Reverse Dual Currency note) ?
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### (Reproducible example) Conditional returns in GARCH-EVT-Copula context (with R)

I'm estimating a time-varying correlation matrix for the normal copula using the rmgarch package from R. I've found this code in the rmgarch.tests folder. I use the ...
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### Difference between IRS and OIS

Is the understanding right that OIS can be accessed only by banks whereas IRS is for corporates. Also, since corporates borrow at Libor + spread, to hedge Libor I use IRS. Banks can borrow overnight ...
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### Local Volatility calculation in Python

I am trying to price Local Volatility in Python using Dupire (Finite Difference Method). I have following set of information Spot: 770.05, Strike: 850, Type: 'C', rfr: 0.0066, time to maturity = ...
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### Detect trend of an index

My question is about determining the trend and it can break down to 3 parts. To clarify, a trend in my point of view, and in simple form, is the last close at time t relative to its time reference, i....
326 views

### Block bootstrap to synthesize asset prices

I have a few basic questions on block bootstrapping on a financial time series ('TS'). Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
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### How to build an inflation term structure in QuantLib?

This is what I've got, but I'm getting weird results. Can you spot an error?: ...
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### Which securities have expirations more often than monthly?

I'd like to explore buying low-cost calls close to the money, so I'm looking for low time values in options premiums. This happens near options expiration. Unfortunately, most options expire on the ...
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### pricing deliverable vs non-deliverable fx forwards

I am trying to link these two questions together Pricing a regular FX forward This is a contract (say USD vs JPY) where you exchange 2 currencies at maturity at a pre-determined rate, while no ...
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### American look Back Option (put)

Hello everyone I'm having some trouble calculating the value of an american lookback put option using any other method but "similarity reductions", if you could kindly describe such method or provide ...
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### Calendar roll terminology (buy vs sell)

I am trying to get the direction/terminology correct in futures calendar trading. Let's say I have two calendar futures contract where the prices are 100 and 102 reflecting the front and back ...
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### ODE solving on GPUs using Python

I am building a financial model and i need to compute simultaneously the same ode with 6 different real-time time series datasets. As I have a mining rig of 6 Asus gtx 1070 8gb, can i use it if I ...
509 views

I am trying to help a friend with her thesis on Counterparty Credit Risk where she intends to have a somewhat lengthy treatment on Credit Valuation Adjustment (CVA). Specifically I am looking to help ...
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### DeMark Indicators

Would anyone know of a library in R that handles DeMarkindicators. Just wanted to check-in with the community before I invested a whole lot of time reinventing the ...
60 views

### Bermudan Swaption

Is there an equation of the kind of call-put parity for Bermudean swaptions ? (maybe an inequality ) Is there an intuitive description of what would be an optimal exercise moment ? Intuitively I ...
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### How is a LIBOR Market Model volatility skew determined?

LIBOR based interest rates are derived from the prices (supply / demand) of swaptions, caps and floors. These prices are generally quoted in yield vols. Their prices are given by the Black formula. ...
657 views

### Issue with OLS Regression for Nelson Siegel Svensson parameters

I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
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### Pricing a callable bond

I have read the Lehman Brother's paper on OAS which I mostly understand, they outline how to find the OAS for a callable bond of which the formula is effectively (ignoring refinancing costs): Market ...
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### Temporal aggregation of daily implied volatilities

Suppose I have a time series of daily implied volatility values for a given month and I am interested in calculating the monthly implied volatility for that month. What would be the most theoretically-...
352 views

### how to choose a price adjustment, a roll date and a data center for my trading strategy?

I have many doubts about Which roll date and price adjustment should I use. I need to backtest like 50 diferents futures. 6 index(mini sp500, Nikkei 225…), 10 Agriculture (soybean, Oat, Corn….),3 ...
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### Is there an inverse relationship between (future-spot) price and yield?

If the difference between futures and spot prices rises will the yield for the current bond increase as well?
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### Calculation of Bond returns

Given that I have a portfolio of High yield bond with USD 50. Duration : 5 years and Spread duration: 5 years CSI BARC Index (Barclay US Corp HY) is as below for the last 30 years. USGG10YR Index (...
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### Portfolio volatility - Real life application

Given that a portfolio consists of Stock=USD 30, High-yield bonds(duration=5 years,spread duration=5 years) =USD 40 , Commodity = USD 30. I was given monthly data for MXWD Index for stock, CL1 Comdty ...
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### How to price a barrier using monte carlo when return distribution is not iid?

this question is actually related to set the stop loss and stop return. Say after a liquidity shock, I want to place two stops, one being stop loss and another being stop return. If I use, say 10 ...
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### Risk Measure-identication

Let X be a variable with existing moment generating function $M_x(z)=E[e^{zX}]$. Define the following risk measure: $\rho_{\alpha}(X)=inf_{z>0}(z^{-1}ln(\frac{M_x(z)}{1-\alpha}))$ Does anyone know ...
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### Distribution of portfolio values with constant spending rate

If your portfolio is invested in an asset that follows a geometric Brownian motion, and you withdraw a constant dollar amount at the beginning of each year, is there an approximate analytical ...
34 views

### Solving for Implied Volatility Vega gets stuck at 0 (Python)

So my goal is to calculate option greeks with as few manual inputs as possible. I managed to get the IV for at the money options but then when I try further OTM strikes my results get completely ...
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### Scenario Analysis - Real life application

Given a portfolio consists of Stock = usd 40, Bond = usd 40, commodity =usd 20. Also given the correlation between these assets. Scenario 1 : stock down by 30% When performing scenario analysis, do ...
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### How to implement an investment strategy in MATLAB? [on hold]

Since I`m a total novice in MATLAB I am struggling with a question that might be not even really hard. I have to implement and backtest 4 heuristic investment strategies but literally no idea how to ...
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### 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 ...
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### What is needed in Brownian Motion [on hold]

What data is needed for Brownian Motion? I’m currently having an dummy firm, and want to simulate stock market using this dummy firm and firm data. How can I proceed this ? Edit: I have a simulated ...
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### serial correlation and CUSUM results

I have the following CUSUM test resulted from autoregressive distributed lag models (ARDL). Does the CUSUM results show that the model is stable? I am a bit confused because the red line in CUSUM ...
239 views

### Fundamental CAPM questions

A couple questions about the CAPM model: If I only know the riskfree rate and expected market return, how do I solve for $\beta$ ? Given the stock's variance, how do I solve the percentage of it that ...
234 views

### Implied AUD Interest Rate from USDAUD FX Swap and USD Interest Rate

Can someone help me understand how to derive the implied interest rate or spot rate in BBG FXFA? I actually get why the Forward rate, F_Ask and F_Bid are derived using the formula in the picture. ...
306 views

### Hull White help needed

I've been trying to calibrate Hull-White 1 Factor & 2 Factor model using Caps but I've some major doubts about my methodology, and would really appreciate some help. I am using these formulas ...
Let's start out with the CAPM equation itself: $E(R_i) = R_{f1} + \beta_{i}(E(R_m) - R_{f2})$ Are there cases where one should choose a different $R_{f1}$ and $R_{f2}$ (Risk Free Rates Of Interest) ...