# All Questions

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43 views

### How do I derive a blend of a 3Y future and 10Y future risk?

So I have a portfolio of Govt. bonds that I'm trying to hedge with futures. Let's take one of the bonds out of the portfolio as an example. In bloomberg, every bond and its future counterparts has a ...
81 views

### Why assume stock returns are normally distributed instead of just adjusting the kurtosis?

Most standard models assume stock returns are normally distributed even though everyone agrees that real-world returns have fat tails. We've all heard stories of hedge funds that went bankrupt cause ...
49 views

### LIBOR Market Model implementation in R

Does anyone know an available LIBOR market model implementation in R? It should not be too sophisticated, as this is a smaller task of a larger work. I am rather thinking about a similar ...
26 views

Quarterly report for MC Donalds has list of documents but there's no way to download it. It has only one text file available for the download. How the other documents could be downloaded, like the "...
46 views

### Cancelable Forward

How I could modeling a break forward or cancelable forward? Could I use Swaption model or only by montecarlo simulation? I have (X-F) for 2Y but I have option to cancel in 0,5Y by a premium price
116 views

62 views

### Increase short positions in futures on oil

In this video on severe contango the author says that if the spot price is way under the futures price, a lot of people will buy oil on spot price and enter a short position. Then he says : ...it's ...
36 views

### What is CMS Spread Option Single Look? In what ways is it different from CMS Spread Cap/floor?

What is CMS Spread Option Single Look? In what ways is it different from CMS Spread Cap/floor? Also, what's strike shift? What's its function in CMS spread options' pricing? Thanks.
32 views

### Calculating theoretical spot rates of treasury bonds beginning with treasury bills

In Introduction to Fixed Income Analytics by Frank Fabozzi, p. 41, there is an example how to calculate the theoretical spot rate of a 1.5 year treasury bond with a 3.5% annual interest and semiannual ...
21 views

### How to model the maturity term of non maturing deposit accounts

My client (bank) currently follows a naive method to model the maturity term of chequing accounts. We need to model the maturity to correctly calculate the FTP pricing of these chequing accounts. The ...
114 views

### Implied volatility equality for deep in/out-of-the-money put and call

Someone posed the following question. Given a strike $K$ and the stock price $S$ and the same maturity are the implied volatilities of the call and put with these same parameters equal for $|S-K|\gg0$...
94 views

### Interpolating the swap curve

Does anyone know how I can calculate the swap rate in between main tenors for specific dates? For example: what is the implied swap rate in 1 year, 60 days time. Is there an easy way to do this in ...
44 views

### FX Volatility smile interpolation delta or Log moneyness - which is better?

I am trying to understand the difference between interpolating an FX volatility smile across deltas and log moneyness ( ln(K/F)) Since Delta is dependant on the vol, it seems there is a difference ...
17 views

### EMTN with two barrier options and pricing by Monte Carlo method

I analyzing an EMTN (Euro Medium Term Note) for my Master's degree thesis, which uses 2 barrier options: a Down and In put, an Up and In put However, I only know how to do it for Knock-out options. ...
114 views

### Where can I find a clear explanation (brief derivation) of N(d1) and N(d2)?

Where can I find a good explanation (perhaps with a brief derivation) of N(d1) and N(d2) from Black-Scholes? Just trying to understand the general idea about these 2 probability functions and how they ...
60 views

### Daily accruals - when does it accrue?

Is there a convention on when interest should be accruing? That is, does interest on a bond accrue during the business day, or does it accrue overnight? Are you able to point me in the direction of a ...
149 views

### Why is put-call parity defined differently by CME and Wikipedia?

In general, Wikipedia defines Put-Call parity as: C - P = D(F - K) ---------------- C = call price P = put price F = *FORWARD* price K = strike which can be re-...
29 views

### B-S derivative with another boundary condition

I want to use the derivation of BS for another type of derivative, not an option. Known the derivation of the Black-Scholes differential equation, is it possible to use in the same equation when my ...
26 views

### Price moneyness vs spread moneyness for credit index options (CDX HY)

Is spread moneyness equivalent to price moneyness for volatility surfaces of CDX HY? In other words, is the ISDA converter a linear transformation? I have market data that I need to convert to input ...
10 views

### Procedure to estimate time dependent volatility of forward exchange rates using correlation matrix of the same

I am trying to compute the Black Volatility of a currency swaption and I am required to draw up a correlation matrix for the forward exchange rates. Could someone guide me as to how I can either get ...
49 views

### Roll Down of Forward Starting Interest Rate Swap

I have the data for a lot of forwarding starting interest rate swaps. i.e 2Y1Y, 3Y1Y, 5Y1Y, 3Y2Y, 5Y2Y, ... (so different forwarding and maturities). I would like to calculate the roll down over 1 ...
42 views

### How to calculate value at risk in accordance with Basel?

I would greatly appreciate if you could let me know whether Value at Risk should be calculated for net open position (foreign currency assets-foreign currency liabilities) or for foreign currency cash?...
27 views

### How to modify EMSR when capacity for each fare class is different

In the normal EMSRa and EMSRb algorithms (EMSR= expected marginal seat revenue), each fare class is utilizes exactly 1 unit of capacity (for eg. one seat on a plane). But I have a similar problem for ...
41 views

### Portfolio allocation methods based on returns forecast

I have a model that predicts asset returns, and I would like to perform asset allocation based on these forecasts. I have already done Maximum Sharpe Ratio, and I plan on using Black Litterman model ...
21 views

### Role of the evaluation date ( ql.Settings.instance().evaluationDate )

I have questions about the evaluation date. (set up with ql.Settings.instance().evaluationDate). I'm trying to build the zero-coupon curve from deposit rates and swap rates, however I don't ...