# All Questions

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### Using Python Quantlib's FittedBondDiscountCurve as Evaluator of Parametric Curve - Errors

I am using Quantlib's FittedBondDiscountCurve in Python 3.7 and setting MaxIterations to 0, and giving a guess_solution, which then turns the routine into an evaluator for the parametric form I choose,...
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### SDE Parameter Estimation

Have a question about "How to estimate parameters for SDE with multiple Brownian Motions ?" Let's say $X_t$ follows the process: $dX_t=\mu dt+\sigma_1 dW_t^1 + \sigma_2 dW_t^2$ I think I've checked ...
61 views

### Stochastic Vol Mathematical derivation [on hold]

I want to understand the mathematical steps done. Can someone please simplify the derivation of d(pi) from Pi? Thanks in advance.
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### Stochastic Volatility and Sticky Delta

"Stochastic volatility models can be thought of as sticky delta model. And Local volatility model as sticky Strike." Please help me understand how the author has reached this conclusion.
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### Implied vol vs Realised vol on Event Days

How implied vol varies vis-a-vis realised vol on an event days?
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### Calculation cross-currency basis

I am trying to calculate cross-currency basis on the 3-month horizon for a certain set of currencies. The formula should be $ccb = F/S (1+y_{foreign currency}) - (1+y_{USD})$ where $y_{USD}$ is Libor ...
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### ATM Curve Construction: Short-Dates

Please explain example 1 and example 2. In example 1 how does 6 appear in the square root function. And in example 2 it is written:" Assume it is known that spot will be completely static during the ...
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It's written in a book by Giles Hewitt : " The bid-offer spread quoted on a Strangle in volatility terms will usually be wider than the ATM spread to the same maturity because strikes away from the ...
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### Where to find the components of an index and how to replicate it by subset selection?

I am interested in replicating the performance of the eurostoxx 50 index using different statistical methods. That's what ETFs do, right? How to replicate an index using subset selection? I think I ...
34 views

### LP for max stress test

I'm trying to find a solution to the following problem: Assume a portfolio of $n$ zero coupon bonds mapped in risk by their respective DV01. Assume that the ZC portfolio created cannot exceed max ...
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### Algorithmic Trading Competition at MIT

Has anyone participated in MIT trading competition before(traders@mit)? Wondering what type of data are used-tick data or bar data-and are participants connected to a web socket? Are we allowed to ...
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### Bloomberg Ticker mapping with Reuters RIC

I am trying to map Bloomberg ticker into Reuters one. For example this one: EDZ3C 96.625 COMDT Few years ago aforementioned BBG ticker would be mapped to Reuters ...
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### Aggregating quotes data for different time frames

I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows ...
87 views

Are all FX trades ( RR, BF, ATM)quoted in implied vol term delta neutral trades? If trades are not delta neutral at the initiation does that mean it is speculative trading? Why/ why not?
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### Finance: Portfolio - Long Short Portfolio construction

I am trying to construct a Long / Short portfolio in R. Say I have two portfolios Tech and Mature and I want to go long on the <...
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### How to compute return series for a German government bond with a 0% coupon?

Recently, the German government issued a long-dated bond with a 0% coupon. I'm trying to implement a historical VaR model and would like to know the best way to model the historical returns of this ...
37 views

### Correlation coefficient without cash flows?

I'm an intern at a company and one of our tasks is to calculate the the probability of default of both participants of a Swap(a Client and a Bank), for which we first need the correlation coefficient ...
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### Frankfurt stock exchange companies

I can't seem to find all the symbols for companies traded at Frankfurt stock exchange, presented as csv (or any downloadable format). Could you help me?
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### Determining if a time series is random

I originally posted this in the Data Science Stack Exchange. Another poster suggested I post it here. The idea would be to identify "orderly" segments within a market time series and use them to ...
49 views

Are all trades quoted in implied vol terms delta neutral trades? If trades are not delta neutral at the initiation does that mean it is speculative trading? Why/ why not?
61 views

### What is the difference between Cost of Currency Hedging and the Price of a Currency Pair Forward?

I am looking at Reuters Datastream and all they seem to provide is the settlement price of the CME EURGBP contract (which more or less equals current spot). But what does it actually cost me to ...
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### About Dual Delta of FX option in the paper: FX volatility smile construction by Dimitri Reiswich & Uwe Wystup

In the paper: FX volatility smile construction by Dimitri Reiswich & Uwe Wystup. It mentions the computation of premium-adjusted spot delta as follows (Page 6): As a beginner of FX option, I ...
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### How can I determine whether a UK company trades internationally

Can anyone think of ways to determine whether a UK company trades internationally? I have seen that possibly if the have 'GB' at the start of their VAT number. Can any financial ratios signal this?
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### Searching for two papers of H.Leland with regards to capital structure

I am searching for two papers of H. Leland which I assume previously were online, as many published papers have cited them. The first work (Lecture notes) extends the Leland(1994a) model by ...
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### Relationship between ROE and IRR

In the textbook I read the following: We can increase the present value of a share of common stock with a new investment only if $ROE > r$ , where $r$ is a discount rate (capitalization rate). ...
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### Compound Plus Simple Interest Rates: Convert one expression to a sum of expressions

Suppose you have a fixed compound interest rate Ci (say 1%), a fixed simple interest rate Si (say 2%), and a total of N months (say 24). So, if you have a start value V (say 100 dollars), at the end ...
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I'm setting up and following a pair trading operation by the method of summing the distances squared (SSD). After determining the best pairs, I have to track the spread between the normalized prices. ...
I am new to the pricing of bonds: Suppose that I would like to price a floating-rate bond with par value \$100, with maturity at$T$years from now, paying coupons semi-annually. Suppose that$r_{n-...