# All Questions

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### 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 ...
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 ...
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?...
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 ...
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) ...
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 ...
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 ...
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. ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
1answer
65 views

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-...
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 \, + \,...
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 ...
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 ...
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 ...
1answer
72 views

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} ...
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/...
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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