# All Questions

12,286 questions
16 views

### Modified Sharpe ratio

I would like to model different type of investors, hence I need to find some kind of utility functions to optimize. Apart from very abstract exponential utility function, I couldn't find any proper ...
7 views

### Philosophy of Financial Risk

Do you think that there exists a framework on that you can build risk measures? What are the necessary and desirable properties of a risk measure? (necessary means compulsory and desirable means more ...
6 views

### Historical quotes / prices of multiasset options

I am working on Lévy copulas, and I would like to try calibrating such techniques on real data. Where can I find quotes for multi-asset options? It could be exchange options or any other type of ...
48 views

### Definition of the field YAS_RISK for bonds on Bloomberg terminal

The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is ...
77 views

### What are some beginner quantitative option trading strategies?

I'm new to quantitative trading, with good knowledge in finance and coding (mainly Python, Java, R, etc). I would like to know if there are any basic quantitative option trading strategies that can ...
66 views

### Avellaneda-Stoikov empirical estimation verification

The solution of the model contains constant: $k = \alpha K$, it relates to: (i) probability of getting a fill ($\alpha$) and (ii) market impact ($K$). Estimating (i). The author proposes that the ...
277 views

### API for fundamentals for NSE and BSE

I want APIs for accessing fundamental data of all stocks in NSE and BSE India. I have searched a lot But no luck. Any such services available please guide me. I'm looking for specifically quarterly ...
54 views
+50

### 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 ...
528 views

### Trader Workstation on Ubuntu cannot be connected to via the API

I am using ibPy to connect to TWS on a fairly fresh ubuntu machine. I have been successful in logging into the paper trading account and submitting buy and sell orders programatically via the ibPy ...
19 views

### Jump Diffusion Model - Volatility and Mean of Jumps

I am trying to understand the concept of jump diffusion model. So far what I've understood is that by adding a Jump parameter to a GBM (Geometric Brownian Motion) we can generate a Jump diffusion ...
349 views

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### Linear Interpolation around End of Month (EOM) for IRS with standard rolls

I have a USD IRS S/A v 3M LIBOR with the following dates: Effective: 30th April 2018 Maturity: 28th April 2028 (Rolls day of month = 28) Therefore stub period runs from 30th April 2018 to 28th July ...
2k views

### Estimating Parameters - Vasicek

The Vasicek model for the short rate $r_t$ is given by the SDE $$dr_t = \alpha(\beta - r_t)dt + \sigma dW_t,$$ where $W_t$ is a Brownian motion under the physical measure. I'd like to compute bond ...
50 views

### What's the difference between instantaneous forward rates and observable forward rates?

Source: http://docs.fincad.com/support/developerFunc/mathref/LIBORMarketModel.htm "In contrast to models that evolve the instantaneous short rate (Hull-White, Black-Karasinski models) or ...
32 views

### stochastic volatility and smile

Can we say that the volatility smile contain for sure stochastic volatility information ? If yes why ? Saying that BlackScholes does not explain the smile does not necessary mean there is an ...
436 views

### Question about using binomial interest rate tree to value callable bonds

When we use a binomial interest rate tree to value callable bond, we work backward, right? If any computed bond value is larger than the call price, the bond will be called. The call price will ...
362 views

### CBOE Index Minute Data

I am doing a small research and looking for a place to purchase historical minute CBOE Index data. I am interested in: VIX - CBOE Volatility Index VVIX - CBOE VIX VOLATILITY INDEX VXV - CBOE VIX ...
19 views

### PCA predicted yield curve moves do not match (closely) realized yield curve moves

I have a need to set-up a methodology to decompose the x-day yield curve moves into its underlying (3) PCAs. Specifically, for an example, to generate the 1-day moves in the EUR-swap yield curve; ...
9k views

### Free intra-day equity data source

Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
37 views

### Novikov condition for Vasicek process

Suppose that we have a money account $S^{(0)}$ with dynamics \begin{align} dS^{(0)}_{t} = r_{t} S^{(0)}_{t}\, dt, \end{align} where \begin{align} dr_t = a(b-r_t)\, dt + \sigma_{r} \, dW_t^{(0)}. \...
118 views

### No-arbitrage in term-structure models

I am a bit confused about what the implication of "no-arbitrage" in popular term struchture models (such as affine term struchtre models or HJM models) are? Is it solely a restriction on the cross-...
2k views

### Do you know any data source for historical VWAP data?

I am looking for historical VWAP pricing data for north american equities. I haven't been able to find a free/cheap data source. Do you guys know of one ? Also, is there a way to proxy for an equities ...
148 views

### Historical tick data level 1 and level 2

I am a software engineer and want to run some simulation of over historical market data . I am pretty new to finance and trading world. To automate some of my strategies I would like to run some back ...
107 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 ...
22 views

### Can a stochastic process be neither adapted to filtration nor previsible?

The idea behind the question arises from my intuition about the concepts of 'adapted to filtration' and 'previsbility'. If a process is adapted, it essentially means that the evolution of the ...
6k views

I am starting to do Algorithmic trading in cryptocurrencies using Python libraries. Most exchanges have RESTful API that make it easy to write you own code and get started. However, I would like to ...
21 views

### CDS Credit Default Swap PnL

I estimate daily pnl on a CDS position using the spread change times the CS01. However I would like to estimate the PnL for a longer trade that has gone from a 5Y CDS to a 4Y with associated coupon ...
419 views

### Calculating Fx Swap from Cross Currency Swap

I am trying to calculate Fx Swap points of a currency pair from the corresponding Cross Currency Swap rate on the same maturity. I.e if I know that my USD/TRY 5Y rate is 16% and my USD/TRY spot rate ...
67 views

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

I have two DataFrames as follows: Dividends: ...
65 views

### Expected value of stochastic optimization

I have a optimization problem where the SDE is: $$dX(t) = [X(t)(u(t)-\beta(t))+\theta(t)]dt+X(t)u(t)\sigma dW(t), t \in [0,T], X(0) = X_0$$ where $\beta(t)$ and $\theta(t)$ are deterministic ...
143 views

### How to interpret and define statistics of GBM output

I am trying to model the future prices of a number of commodities. For this, I am applying geometric Brownian motion, writing a Monte Carlo code in Python. Given that I want to estimate tommorows ...
56 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 ...
155 views

### Expected value of delta-hedged portfolio

Consider portfolio in black-scholes world $\Pi = \Delta S - V$, where $S$ is the stock price and V is the price of the option. I have read that if we set $\Delta = \frac{\partial V}{\partial S}$ ...
29 views

### How to find out where a public company spends money?

Occasionally I will see articles about how Company X spends x dollars on A, and Company Y spends y dollars on B. Here is an ...
78 views

### Bitcoin dynamics - C++ Simulation

I would like perform a simulation of Bitcoin future prices given a sample of the 4 past years (2014-2018). My problem is that I do not know what model to use! For common stocks I used the geometric ...
20 views

### A quick and dirty loss distribution and Credit VaR

I need to create a loss distribution for a credit portfolio as the first steps to estimate the portfolio Credit VaR. I have historical monthly account snapshots (payment history) of all accounts ...