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88 views

FX Correlation Risk from cross ccy pairs

Suppose you are long a TRYJPY call option. And lets say you can delta hedge using USDTRY, AUDJPY, and AUDUSD. In this case I would delta hedge by buying USDTRY, selling AUDJPY, and buying AUDUSD. If ...
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votes
1answer
32 views

CVaR is concave risk measure or convex?

I see in pflug modeling and measuring risk book, CVaR is concave... But the other book definate cvar is convex... If assume cvar is concave, then cvar optimization problem give us a global optimal ...
0
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0answers
19 views

about CDS data from Bloomberg

I am thinking of using function in excel(from Bloomberg) to get all the CDS bid and ask price. Does anyone know what kind of function is needed? Also, how to merge the CDS data in Bloomberg and Markit?...
1
vote
1answer
139 views

Why is it better to use evolutionary algorithms than OLS for solving index tracking problem?

I am currently using different optimization algorithms for finding constrained portfolio that best replicate choosen index. So i have a optimization task to minimize tracking error. I wonder why every ...
1
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1answer
70 views

Calculating Cross Currency basis swaps

I am trying to calculate cross currency basis swaps for personal use. I generally understand what they are (essentially swapping one currency for another currency on a floating interest rate basis) ...
0
votes
1answer
30 views

Can someone provide a good definitive explanation for rho in relation to option risks?

I have a pretty good understanding of option risks except for one thing, rho. Unfortunately, interest rates tend to have a small effect on option prices, and thus most literature tend to just gloss ...
0
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1answer
70 views

Half of the bid-ask spread as transaction cost

I am currently reading "Deviations from Covered Interest Rate Parity" by Du et al. When establishing deviations from CIRP they consider transaction costs as follows. "We assume that the transaction ...
0
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0answers
20 views

How do I export data from the volatility lab?

I am trying to export data from the volatility lab within the interactive brokers TWS platform. Specifically, I am interested in implied volatility and historical volatility for specific tickers. ...
1
vote
1answer
154 views

Can someone explain rigorously Taleb's criticism of Nate Silver's election forecasting?

Taleb makes the claim in this paper (and others) that there exists some sort of bound on the variance of a binary forecast such that if a forecaster's binary predictions exceed the bounds on variance ...
-1
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0answers
80 views

Coding Skills required for Quant Trading Interviews

Before you guys close this as "off-topic", I just want to clear it up that I believe this question can be highly useful for any seeking to start a quant-trading career. So the question goes: How ...
0
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1answer
43 views

Why is the value of the Brownian motion bounded by the maximum value of this square difference?

This comes from Taleb and Madeka's paper (https://www.academia.edu/39998351/All_Roads_Lead_to_Quantitative_Finance_Response_to_Clayton_?auto=download) regarding arbitrage restrictions on binary ...
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0answers
18 views

Average interest rates by currency (Basel SRP98)

Can anybody confirm how the average interest rates by currency is calculated as per Basel SRP98? Please scroll down to 98.57 to see the table for different currencies. Step 1: generate a 16-year ...
2
votes
1answer
45 views

Why is the CAPM Beta defined this way - Beta hedging

Let's say I have two equity indices X and Y. Assume they are negatively correlated with some leverage. I want to hedge X with Y. I have seen many ways of computing a beta to describes the ...
0
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0answers
18 views

Volatility Skew fitting in R; Calculate option delta using various volatility dynamics

Given a fixed maturity option chain, i was wondering if there is any way to evaluation an option against this volatility surface and compute the various delta of the options wrt to volatility dynamics ...
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0answers
23 views

Interactive Brokers: Is Flex Web Service with Paper Account possible?

I am testing an automated system each day and I want to pull daily trade reports. The Flex Query is perfect, and works with my Live Account, but I cannot figure out how to make it work with the Paper ...
0
votes
1answer
65 views

Jensen’s Inequality for returns on short positions

this is puzzling me. Say you have an asset A, that on day t+1 returns 1%, and then on day t+2 returns 1% again. If you invest $1 in A on day t (take a long position), then on day t+2 you have earned:...
-2
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0answers
32 views

I'm having diffculty for this cross rate problem. Should I use the bid or the offer? [closed]

Exora company from Malaysia needs to pay PHP 1,000,000 to Long Range company. How much is its equivalent amount of MYR given the bid-offer spread below? Below are the current market prices. First, ...
-1
votes
2answers
45 views

List of European banks by assets and/or deposits

Does anyone know where I can find a list of European commercial banks that includes assets and/or deposits? I found this link on ECB's website: https://www.ecb.europa.eu/stats/financial_corporations/...
0
votes
1answer
46 views

In literature, is IV constantly adjusted during option delta hedging?

In a lot of literature, they like to compare the performance of buying an option, and then delta hedging either at that options implied volatility (IV) or the true future volatility. This is under ...
0
votes
3answers
57 views

what happens when a stock price gaps over buy/sell stop order?

Example for clarification. Let's say the stock price is 50 and i am trading intraday on the 5 minute chart and place a sell stop order at 48. But then the next 5 minute candle opens at 45 and goes ...
3
votes
4answers
1k views

Why does the ultra long-end of a yield curve invert?

The shape of the yield curve (at least in the GBP Rates market) is upward sloping from the front end up to the long end (i.e. 30y), but then begins to become downward sloping as we go beyond 30y and ...
1
vote
1answer
56 views

Extreme Negative Gamma

I see Zero Hedge, talk about extreme negative gamma position of dealers all the time which it then ties back to market moves. I was wondering how do you calculate such market positioning based on ...
1
vote
0answers
14 views

How to choose the grid diameter for an auxiliary variable when solving numerical PDE?

I am currently working on a PDE solver with 4 dimensions: spot, spot average, position on the underlying and number of days outside a barrier. When choosing a spot grid diameter and also the average ...
0
votes
1answer
59 views

Basis calculation

How does one calculate a fair value for a futures contract whose underlying is an Index? For example, how would fair value for ES futures be calculated using the prices of the S&P 500 constituents?...
0
votes
1answer
79 views

ARMA+GARCH day-trading strategy

I have a question regarding this particular post on quantstart: https://www.quantstart.com/articles/ARIMA-GARCH-Trading-Strategy-on-the-SP500-Stock-Market-Index-Using-R In it, he designs a day-...
1
vote
1answer
40 views

RQuantlib not returning greeks for options

I do not manage to get Delta/Gamma/Vega/Theta using the simplified AmericanOption function from RQuantLib: ...
2
votes
0answers
36 views

Discretisation of OU (mean reverting) process with a jump process

I have a question about how to apply the Euler approximation on OU process with a jump process. The stochastic process $X_t$ has dynamic $$dX_t=\alpha(\beta-X_t)dt+\sigma dW_t+dY_t$$ where $dY_t=...
1
vote
1answer
46 views

Negative 2y swap spreads

2y swap spreads have dipped below zero for the first time. Can this stay negative and invert more? If my math is correct, the negative swap spread for the 2y leg suggest that the expected path of 3-...
0
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0answers
35 views

Reference for pricing geometric-mean basket option

Let $(Z_1,\ldots,Z_N)$ be an $N$-dimensional Brownian motion with correlation matrix $\rho$ and consider the multivariate Black-Scholes model \begin{align} dS_i(t) \ = \ (r-q_i)\, S_i(t) \, dt \, + \,...
0
votes
1answer
21 views

How to understand interest rate bid/ask and apply client mark-up in Tom/Next Rollover Swap Point Calculation

When I am reading materials in swap point calculation for FX Tom/Next Rollover, I am confused with the market interest rate bid/ask. Using an example: I traded on ...
0
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0answers
15 views

Bloomberg tick data timezone offset because mismatch in bloomberg api and excel bloomberg

i am trying to fetch intraday tick data for security->C Z9 COMB Comdty,startdatetime:2019-08-05 15:30:00 Enddatetime:2019-08-05 15:35:00 from excel and bloomberg Api but response is mismatching can ...
1
vote
1answer
59 views

Availability of GC Repo Rates for Different Maturities

I am trying to replicate a Covered Interest Rate Parity arbitrage trade using General Collateral Repo rates for my Bachelor Thesis. My problem is that I do not have the necessary knowledge of what ...
2
votes
1answer
72 views

Zero-coupon bond pricing equation derivation

I'm trying to understand how in Chawla's paper that I've linked below, how he obtains equation (2.5) for the zero coupon bond pricing equation? The equation is: $\frac{\partial B}{\partial t} + \...
0
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0answers
37 views

What are your favourite benchmarks for signal (pre-trading strategy) backtesting?

In some situations, e.g testing the value of individual signals to be built into an ensemble method, it can be a bit too early to implement trading logic for the strategy needed to do a standard ...
0
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0answers
26 views

What is the difference between Rolling Returns and Moving Average and how to calculate them?

So I understand what a moving average is and how to calculate it. I'm using this numpy function for it. I am somehow confused about how to calculate rolling returns. Different sites explain it ...
0
votes
2answers
67 views

How do I know what my portfolio weight constraints are given to me by my broker?

I have started exploring portfolio optimization results that pop out when I don’t constrain the weights to sum to 1. For instance, in a dollar-neutral portfolio, the weights sum to 0. Also, some ...
2
votes
0answers
43 views

Correct Discount Curve for Exchange Traded (Centrally Cleared) Products

What's the correct discount curve to use for exchange traded products? Would these be discounted at the OIS rate (because of the central clearing house)? E.g. the E-Mini S&P500 Future @ CME: I'm ...
1
vote
3answers
98 views

Why do higher interest rates increase the value of the currency?

I've been trying to study about interest rates and foreign exchange. First of all when people say interest rate in this context do they mean interest rate set by the central bank like federal reserve (...
0
votes
1answer
63 views

Optimization of Take-Profit and Stop-Loss

Three questions: What branch of mathematics would help me optimize profit if I have a trading strategy that on an individual trade basis (Trade 1, Trade 2, ..., Trade N) has a draw down of (X1,X2,......
3
votes
1answer
101 views

List: Behavioural characteristics of key Ito processes used in finance

My hope from this question is to become a repository of the behavioural characteristics, use-cases and interesting features of the key Ito processes used in quantitative finance - examples being GBM, ...
0
votes
0answers
8 views

Is there any source where I can find historical data OR beta for Indian stocks based on their ISIN numbers? [duplicate]

I need a source that provides beta or historical data (through which I can calculate beta) for Indian stocks based on their ISIN numbers, having an API or csv deployment devices
2
votes
4answers
107 views

Which rate to use as a risk free rate in emerging markets?

By looking at Fama and Frenchs global Portfolios, they just use the USD-RF rate as the risk free rate, because they converted their Returns to US-Dollar. Im currently estimating Strategy Returns in ...
0
votes
2answers
39 views

For a Floating Rate note, is there a way to convert the Discount Margin into OAS or Price?

Sorry if this is a very basic or flawed question but I am struggling. I have a known Discount Margin and I am ultimately looking to compute a price from this value as I do not have one. Alternative ...
2
votes
0answers
52 views

Finding Jump Probability For Time Series Data

I'm relatively new here, so if it seems like I'm asking a bad question, go easy on me. So I was looking at the Merton Jump Diffusion Stochastic Model on Turing Finance's article. Instead of creating ...
0
votes
1answer
54 views

Interest rate equation from bond price?

If a zero coupon bond price at time $t$, with maturity $T$ ($t<T$), is denoted by $B(t;T) = B(T;T) e^{(-\int_{t}^{T} r(s) ds)}$ where $r(t)$ is a known interest rate. How does this transform ...
0
votes
1answer
96 views

Do quants need to know bloomberg terminal and VBA? [closed]

I am a Pure Maths PhD student who will graduate in 2 years time. My aim is to land a quant job after gradauation. When collecting more information so that I can have some edges over others, I heard ...
0
votes
1answer
53 views

Baxter and Rennie: A question on Notation

On page 56 of Baxter and Rennie (Financial Calculus), we have The definition of a continuous stochastic process, in terms of the drift $\mu_s$ and volatality $\sigma_s$. Its important to keep in ...
0
votes
2answers
63 views

In BS option pricing, why is the drift rate of GBM equal to risk free rate for all stocks in risk neutral?

Can the drift rate μ depend on specific stock ? If not what is the rationale for the discounted Stock price to be a martingale ? \begin{align} & dS_t/S_t = \mu dt + \sigma dW_t \end{align} ...
0
votes
1answer
91 views

How to simulate market data and test strategies?

I am trying to implement my own exchange with simulated data and test some strategies on such data. What would be the best way to go about modelling the data that supports live interaction ( limit/...
0
votes
0answers
17 views

How to annualize sharpe with non-continuous trading days

I want to calculate annual sharpe of my tradingsignal. I assume risk free rate is zero, so my sharpe is return to risk, not excess return. My trading signal is binary on/off for different trading ...

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