All Questions

0
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0answers
3 views

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. ...
8
votes
1answer
650 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 ...
3
votes
1answer
70 views

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 ...
0
votes
0answers
21 views

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-...
2
votes
1answer
349 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 ...
0
votes
1answer
46 views

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?
0
votes
1answer
46 views

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 (...
1
vote
2answers
58 views

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 ...
0
votes
1answer
65 views

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 ...
1
vote
0answers
25 views

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 ...
5
votes
0answers
40 views

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 ...
0
votes
0answers
32 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 ...
0
votes
0answers
35 views

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 ...
0
votes
0answers
31 views

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 ...
2
votes
2answers
73 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
41 views

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 ...
0
votes
1answer
28 views

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 ...
2
votes
3answers
236 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 ...
0
votes
1answer
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. ...
-1
votes
2answers
137 views
+50

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....
0
votes
2answers
304 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 ...
2
votes
1answer
299 views

Risk-Free Rate In CAPM

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) ...
2
votes
1answer
30 views

how to simplify Inflation year-on-year option to Zero-coupon option

Belgrade 2004 paper basically proposes that inflation year-on-year volatilities (and hence yoy options) are basically the spread vols between the Zero-coupon vols from (t0 to T) minus the zero-coupon ...
0
votes
1answer
189 views

Moody's, S&P, Fitch revenues per country

I need a variable which identifies the possible conflict of interests between credit rating agencies and countries, although they do not pay in order to be rated. Such a variable could be the ...
0
votes
1answer
80 views

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 ...
4
votes
2answers
629 views

Equity short Interest data source

I'm looking for short interest data (those disclosed on 15 days basis to FINRA) As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI). Nasdaq.com contains only nasdaq traded ...
0
votes
0answers
33 views

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 ...
2
votes
1answer
72 views

Regression techniques for bermudan Monte-Carlo

One knows that the price of a bermudan claim exercisable at times $T_1, T_2,\ldots, T_N$ is $$V_0 = \sup_{\tau\in\Gamma} \mathbf{E} \left[ e^{\int_0^{\tau} r_s ds} \varphi_{\tau}\left( x_{\tau} \...
0
votes
2answers
270 views

FX hedging: forward rate and implied forward rate

In this paper (box 1 page 24): https://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Bulletins/2000/2000mar63-1brookeshargreaveslucaswhite.pdf It is argued that the forward rate that a ...
0
votes
0answers
26 views

Learning short-rate dynamics and how it affects optimal portfolio strategy

I'm looking for some advise. Here is the problem: For absolute simplicity, assume that we have one risky asset with price process \begin{align} dS_{t} = \mu S_{t}dt + \sigma S_{t}dW_{t}, \end{align} ...
5
votes
2answers
344 views

Retrieval of MSCI factor index performance data from the web

I hope this question is on-topic. What is a convenient way to get MSCI index performance data from the web? I would be interested in daily performance data of the factor indices momentum, minvol, ...
0
votes
1answer
34 views

does anyone calculate substitution risk?

So a company can post collateral to borrow money (repo agreement) and they may have different options of collateral to post. I have to pay a return on their collateral while I hold it. Since, at the ...
3
votes
2answers
230 views

When the two time series with different length, how could we analysis them with a bivariate GARCH model?

At this moment, i need to do the analysis of rouble/us dollars exchange rate and the stock market index in Russia, I prefer to do that in a multivariate GARCH model. However, I have a question about ...
0
votes
1answer
62 views

Single Model Accuracy Estimation

I'm working on a model to estimate CDS prices, and want to backtest it against a historical timeseries. What are some error/goodness of fit measures that I can use for this purpose outside of RMSE? I'...
3
votes
2answers
97 views

Find the brownian motion associated to a linear combination of dependant brownian motions

I have $N$ correlated standard one-dimensional Brownian motions $W_1,\ldots,W_N$ with correlation matrix $\rho$ and I consider the process $Z_t \equiv \sum_{i=1}^N \mu_i (t) W_t$ where the $\mu_i$ are ...
0
votes
1answer
124 views

Dealing with weekends/gaps in financial data

My script takes some data from IEX and then outputs a pandas dataframe: ...
1
vote
2answers
50 views

1 day VaR vs 10 day VaR

Even while using historical simulation VaR, 1 day VaR is converted into 10 day VaR by multiplying 1 day VaR by Sqrt(10) for regulatory reporting purposes. What are the underlying assumptions for ...
1
vote
1answer
48 views

Is it possible to create an instrument on the amount of beds sold within the real-estate market

I have been doing some research on the PBSA (purpose-built student accommodation) market around the globe. The market is growing year on year there is an index on this market the cbre. What ...
1
vote
0answers
32 views

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?: ...
1
vote
0answers
24 views

Integration of Brownian motion and square root

If $\mu$ is a Borel measure on $\mathbb R_+$ such that $\int \sqrt{t}d\mu$ is finite, I wonder how to show that distribution of $\int B(t)d\mu$ is normal. I think I need to use the fact that the ...
1
vote
1answer
116 views

When $E[f(\alpha,X)] = f(\alpha, E[X])$

When $E[f(\alpha,X)] = f(\alpha,E[X])$, where $f$ is some convex function of the first and second variables, except when the first variable takes the value $\alpha$ in which case the equality holds, ...
6
votes
2answers
319 views

Cochrane on Return Predictability

Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read: If returns are not predictable, ...
1
vote
0answers
42 views

Errata for Mark Joshi's Concepts and practice of mathematical finance

I am wondering if anyone has a PDF copy of the errata for Mark Joshi's book "Concepts and practice of mathematical finance"? It seems that Mark's website markjoshi.com is not accessible anymore. I ...
4
votes
1answer
76 views

Consumer Price Index (CPI) Inflation Impact on Price of Securities

I was wondering if there are any papers on CPI announcements' impact on the price of certain securities that are tied to inflation rates. I know there are derivatives for inflation rate, but I was ...
1
vote
1answer
57 views

Which are the practical implications that the continuously compounded rate of return can be smaller than the expected rate of return?

I'm reading Hull's Options, Futures and other Derivatives and it intrigues me that the distribution of the continuously compounded rate of return x is: $x \sim \phi(\mu - \frac{\sigma^2}{2}, \frac{\...
1
vote
1answer
42 views

Expectation and variance of standard brownian motion

Assuming that the price of the stock follows the model $ S(t) = S(0) exp ( mt − (σ^2/ 2) t + σW(t) ) , $ where W(t) is a standard Brownian motion; σ > 0, S(0) > 0, m are some ...
0
votes
0answers
21 views

Gueant-Lehalle-Tapia, reproducing figure 4

I'm having some trouble reproducing figure 4 from Gueant-Lehalle-Tapia Using the asymptotic quotes given by Left: sigma=0.4, A=0.9, k=0.3, gamma=0.01 Right: sigma=1, A=0.2, k=0.3, gamma=0.01 In both ...
4
votes
4answers
4k views

List of Intraday stock prices API

I am looking for an API to request intraday data for the London stock exchange. I have seen products like eSignal but this seems to include a lot more than the simple data as XML or JSON and is fairly ...
1
vote
0answers
33 views

Statistical distribution of MACD

I was (unsuccessfully) trying to find results on what the distribution of the MACD values for a stationary time series with IID returns would be. Are there any such results or any that go in a similar ...
5
votes
2answers
216 views

Local volatility implied by implied vol surface

In his book volatility and correlation, Rebonato tries to explain intuitively the shape of local volatility surface (depending on stock level and time) from the implied volatility surface in the OTM ...

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