# All Questions

12,264 questions
70 views

### Black Scholes- Options and OIS

I have 2 questions. In the Black Scholes formula for currency options, where does forward premium come in? Volatility will be a historic parameter, so which component considers fwd premia. Typically,...
36 views

### Determine the maximum arbitrage profit from the given contracts

I really have tough time trying to figure this out. An investor observes the following prices in the market: Euro-Stoxx-Future DEC 148.02-148.03; Euro-Stoxx-Future Call-Option DEC 148.00 1.13-1.15; ...
25 views

### QuantLib XL Swap Valuation Fixing Dates

I want to rate IRS Swaps on an specific Valuation Date using QuantLibXL. Everything works fine besides the last Index Fixing before the Val Date. After using SwapLegAnalysis I saw that the Index ...
30 views

### Running regression to analyse how leverage changes around

I am running a single variable regression with BHAR returns as independent variable and Leverage as dependent variable. I would like to analyse does the leverage 1 year prior to IPO and 1 year after ...
52 views

### Annualising standard deviation (monthly, quarterly data)

The question I have refers to annualised standard deviation. For example, I have various funds monthly returns data for the period 1980-2019. Some of them report data for e.g. 13, 19, 43, 56 months ...
8 views

### How to plot the last values of a dataframe on boxplot? [migrated]

I have a 2*4 box plot, each contains 21 boxes. For each of them, I would like to plot the last value of each dataframe column. A closer look at one of them: ...
86 views

### How to compute the Carry + Roll-down of a bond with QuantLib?

I’m new using QuantLib (I have no idea how to use it) and I would like to know how to calculate the C+R of a bond, say the current 30Y. The textbook definition of C+R is the P&L due to the ...
44 views

### How to understand firm option expiration cycle?

Here I am trying to understand the firm option expiration cycle: When I read Investopedia, it says: Most of stock options are on one of three expiration cycles, which consists of one month per ...
130 views

### What is the fastest common moving average?

I am trying to find what standard moving average would give me the fastest adjustment or strongest weight to most recent data, but without changing the number of periods. Here is some sample data and ...
91 views

### Pricing in the Heston Model

The dynamics of the Heston Model is \begin{align*} \frac{dS}{S} & = \lambda \sqrt{\nu} d W^S \\[0.5em] d \nu & = k (1- \nu )dt + \epsilon \sqrt{\nu} dW^\sigma \end{align*} where $\lambda$...
70 views

### Difference between tree and lattice approach

Is there any difference between the tree and lattice approach for valuing derivatives? I was under the impression that both are the same.