# All Questions

12,194 questions
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### How to find the tangency portfolio using quadprog in R with different risk free rates

I am trying to find the optimal tangency portfolio for the efficient frontier (calculated using qp.solver in quadprog) but subject to different risk-free rates. Demos for quadprog in R show that to ...
15 views

### Face Value of SOFR futures

What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
22 views

### forward + displacement

I I am trying to price a cap/floor using Quantlib in Python. the initial code from from this website: http://gouthamanbalaraman.com/blog/interest-rate-cap-floor-valuation-quantlib-python.html Here is ...
25 views

### Is American option price lower than European option price?

I used to think under the same condition, the American option is always more expensive than the European option, because American option can be exercised at any time (has more rights than European ...
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### Bounded solution for a SDE

I have this SDE $$dX(t) = [X(t)(u(t)(\delta-r)+r-\beta(t))+\theta(t)(1-\alpha(t))]dt+X(t)u(t)\sigma dW(t), t \in [0,T] \\ X(0) = X_0(1-\alpha(0))$$ I've checked some books and I find the solution ...
38 views

### Group name for currencies, equities and other financial products

I am working on a financial software system that deals with crypto currencies. This system has a model called 'Currency' that describes for example 'BTC' and market for which there is a 'base' and '...
25 views

A simplified example. Given: asset's price time series fixed distances to stop and target. A function of these inputs has two possible output values: $1$ if price is likely to hit the target ...
34 views

### Preferred Stock pricing model

I am trying to build a model to price a preferred stock. I want to model the dividends as random payments. I can't find any papers online on the subject. Does anyone have a reference for me?
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### RQuantLib: BermudanSwaption(): effective date later than or equal to termination date

When running the command in the RQuantLib library: ...
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### What is the reasoning behind 'terminal time' in market making literature?

Market making literature and models often include a factor for 'terminal time' (1), (2) within which the market maker's inventory is liquidated. What is the reasoning behind this idea? Is it simply ...
37 views

### Cash vs Deposit Rates

When constructing a yield curve for derivatives purposes, what is the difference between cash and deposits rates?
68 views

### Basic book on stochastic calculus, Itô and jump processes and Brownian Motion

I was looking for a good book that explains at beginner-level the basic of stochastic calculus, probability and random variables, Itô and jump processes as well as Brownian Motion. At university we ...
38 views

### Backtesting :: Migration to Simulated / Real-Time Trading

I am relatively new to backtesting and I want to migrate my system to simulated trading via Amibrokers Interactive Broker's API. What I have been doing is setting trade delays such that when a Buy or ...
990 views

### How to assess the susceptibility of a U.S. company to go bankrupt?

Suppose a NASDAQ equity XYZ. Question : How can we assess the susceptibility of a company to go bankrupt? Are there good criteria that we can trust? What about ...
27 views

### Put Option Payoff Replication (Dynamic Hedging)

We know that we can use the below equation to replicate the payoff of a call option using stocks and bonds. I am wondering what the equation would look like for a put option instead. In addition, if ...
83 views

### PCA for Risk bucketing

I'm working on a project to justify the use the certain tenors (2y, 5y, 10y, 30y) for risk bucketing. I'm a little stuck after calculating the principal components. Just to describe my approach- a) ...
80 views

### Is it still worth to be a Quant in 2020? [on hold]

I have been interested in quantitative finance for many years. During the last few years I realized that this profession lost a bit of the "magic". Some of my friends changed the careers from ...
35 views

### Estimation of Risk-Neutral Densities Using Positive Convolution Approximation - Python

I'm trying to estimate the risk-neutral density through positive convolution approximation (introduced by Bondarenko 2002: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=375781). I'm currently ...
16 views

### How can I get price data of historical/expired option in Thomson Reuter Eikon?

I want to get price data of historical Dax index historical options in Thomson Reuters; however, I can only get the latest snapshot of the option data, even if I specified the date range Can anyone ...
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### Data Sources for Timestamps of Individual Trades

Are there any data sources where I can get the timestamps of individual trades/transactions? I'd like them to be at the second level or even the millisecond/nanosecond level. Ideally, the trades would ...
104 views

### Arbitrage when risk-free portfolio earns less than riskless portfolio

I'm currently reading Paul Wilmott's excellent book on option pricing. Near the beginning, he constructs a risk-free portfolio using an option, and a short on the underlying to hedge the risk. I'm ...
49 views

### MLE error in R: initial value in 'vmmin' is not finite

I am trying to fit an ARIMA(1,1)-GARCH(1,1) model. I changed the starting values a lot but still its returning the same error. Below is my code which contains two functions ...
82 views

### Any video lecture on copula function, a statistics concept for measuring dependence?

I have read the paper 'Coping with copulas' and it is a bit hard for me to read since it has lots of mathematical equations. So I am looking for any video lecture on this topic, copula function. I ...
44 views

### (R-studio) Incorporating overnight returns in high-frequency data

Turning here since I haven't been able to find any help online. I'm currently dealing with a high-frequency data set in R of some stock indicies and I'm currently trying to clean the data so that I ...
24 views

### How to calculate net change from different dates in SQL? [on hold]

In SQL Server, I create a separate/new table of many indicator values for every trading day. I want to calculate the daily net change between them. In other words, a computed column: "net change ...
48 views

### How can we compute the daily drop in gross basis?

Background The implied repo rate (IRR) is essentially the carry for going long basis (buying the deliverable bond and selling the futures contract). For this reason, it rises in value day-by-day as ...
72 views

### Binomial Tree Option Pricing Model. Lets talk dividends and futures

I am writing an option pricing model for production use. Its not for arb or anything so it doesn't need to be 100% as accurate as possible. Just good enough for "what happens to my book if we jump 10 ...
31 views

I am at beginner level in Finance. I want to calculate WACC for the Google I am considering risk free rate from treasury reports 30 years data. Not sure about market risk premium. Please guide.
80 views

### How to calculate one-year forward one-year rate?

I'm just a little lost on how to calculate forward rates. I know this is an easy question, but, if we are given a one-year and two-year zero rate (let's say, for the sake of the argument, 2% and 3% ...
75 views

### Naked options selling

I sold the naked put. The price of underlying went down and broke the support. The situation changed technically from bullish to bearish. The price of underlying is still quite far above the option ...
21 views

### What are industry-standard terms for MBIS “situational bid”?

In the data feed from Municipal Bond Information Services there is a field called "situational bid", which is defined in their reference as "Bids on a security that is being offered for sale." If I ...