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30 views

Strategy in mql5

I have the following code(is not mine) in an Expert Advisor: if((Handle(DXHandle, 0) - Simbolo.Ask()) >= (DXPontosDistancia * _Point)){...} Handle(DXHandle,0) ...
0
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1answer
39 views

Can I dynamically change hyper-parameters of a model?

Question Can I apply different hyper-parameters for different training sets? I can see the point of using the shared parameters but I cannot see the point of using shared hyper-parameters. The ...
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0answers
42 views

How to model fixed-rate loans or mortgages with act/365 but constant payment

My question I have a question on how to model the cashflows of fixed-rate loans or mortgages. Let's say the payments are monthly, and the rate remains constant throughout the life of the product; each ...
2
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2answers
92 views

Discussion on random matrix theory and impact on PCA

I've written a paper for university on Random Matrices and during my research I've had an interesting idea, let me explain: Wigner's Semicircle Law has seen much advancement since its original proof ...
1
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2answers
139 views

best way to calculate the return

Suppose that you want to calculate the single period return. Let p0 be the initial price and p1 be the final price over the ...
-2
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1answer
85 views

Best way to calculate a stock's fair value [closed]

I keep hearing "analysts" say that certain company's stock is currently much below the fair value, and I also keep hearing that certain other stocks are severely over-valued. However, I have ...
0
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2answers
29 views

UK Government Debt Statistics

I would like to find some stats regarding UK Government debt. Any leads ? I am looking for following questions Debt / GBP ? ( Got it already ) Debt profile ( by maturity, instrument) New debt ...
1
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0answers
57 views

How to calculate contributions to the granularity adjustment

In the Basel pillar 2 framework a granularity adjustment is introduced. While the capital requirements in pillar 1 do not take concetrations into account, this is meant to be covered with this ...
2
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1answer
108 views

What's the point of complex option formula adjustments?

I had a discussion with a colleague of mine about the implications of risk modelling for the Gamestock/Wirecard cases in the recent weeks and that stock borrow rates could be an important risk factor ...
2
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0answers
32 views

Simulating a square root process with jumps for mortgage defaults

I am trying to simulate the paydown of a large pool of mortgage loans. For each monthly period, I am reducing principal by the scheduled principal payment (approximated by the WAC of the underlying ...
-5
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0answers
52 views

Python function to calculate forward rates

This is a question received in an interview: The exercise consists of writing a function that allows you to estimate the implied three-month forward curve. The inputs of this program should be: • The ...
0
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1answer
46 views

How to use 'purging' in predicting stock price tomorrow based on information today?

Q1. How to create an 'overlap' when we predict a stock price tomorrow based on information today? According to the book 'Advances in Financial Machine Learning' written by Marcos Lopez de Prado, the ...
0
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1answer
73 views

Regressing changes in yield/yield curve

If I'm regressing changes in individual points along a yield curve and measures of changes in level/slope/curvature of that yield curve against the returns of some random variable then do I want to ...
-1
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0answers
60 views

Martin Hairer's breakthrough math prize 2021 [migrated]

Wikipedia states the 2021 Breakthrough Prize in Mathematics announced in September 2020 was made to Martin Hairer - "For transformative contributions to the theory of stochastic analysis, ...
3
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3answers
147 views

Can banks use reserves to settle liabilities arising from cash-settled options trading?

Here is a hypothetical scenario: Bank A sells 1 SPX CALL/PUT to a retail trader who uses Bank B. The SPX becomes in the money. SPX is cash-settled. So Bank A transfers reserves held at Federal Reserve ...
1
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0answers
44 views

Show that stochastic integral is $F_W(t)-$measurable

In some notes, my professor writes the following for the price function of an geometric asian option: \begin{align} \text{Price}(t)&=\tilde{\mathbb{E}}\left[\left(S(0)\exp\left(\frac{T}{2}\left(r-\...
5
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0answers
67 views

Non attainable claim - Incomplete market

I am wondering whether there is a standard procedure to find a non attainable (i.e. non replicable) asset in an incomplete market. As an example, let us have the following market ($B = (B^1, B^2, B^3)$...
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0answers
83 views

A few questions on duration and convexity for floating-rate bonds (interpretation and formulae)

I have a couple of points I would like to confirm / ask about duration and floating-rate bonds: Macaulay duration is a weighted average time until repayment, where we weight the PV of each payment by ...
0
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1answer
52 views

Barrier Reverse Convertible

I am a finance student and during my free time I try to understand more financial products. Today I have found a term sheet for a specific type of barrier reverse convertible but I couldn't understand ...
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0answers
86 views

Is this the PnL you would expect to see for a hedged call option portfolio? [closed]

You are a market maker. Charging no commission, your only aim is to remain market (delta) neutral. Therefore you construct a portfolio of the form: $$\Pi = -C - w_{1} B + w_{2} S$$ where $B = K \cdot ...
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0answers
41 views

How to calculate approximate historical price of options?

Assuming that I have access to the historical daily closing price, it is possible to approximately calculate the daily price of an option? I understand that one pricing model is the Black-Scholes ...
0
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0answers
27 views

VaR and Expected Shorfall estimations with negative shape parameter of a GPD (Extreme Value Theory )

So im trying to replicate an code from the Quantative Risk Management Book (https://github.com/qrmtutorial/qrm/blob/master/code/09_Market_Risk/09_Standard_methods_for_market_risk.R). But when i try a ...
0
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0answers
39 views

Hypothetic derivative that absorbs underlying volatility

Market participants are usually assumed to be risk-averse and striving to improve the Sharpe ratios of their portfolios. Thus, if we have an asset A, which is expected to return between \$900 and \$...
3
votes
3answers
306 views

How can a deep discount bond with a longer time to maturity have a LOWER duration than an otherwise identical bond with a shorter time to maturity?

Here is a brief excerpt on the fixed income chapter from the 2020-2021 level 1 CFA curriculum: Generally, for the same coupon rate, a longer-term bond has a greater percentage price change than a ...
0
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0answers
22 views

Future forward convexity adjustment as the expected profit from reinvesting margin payments?

Having looked at the formula for the convexity adjustment as a function of the covariance between rates accruing till maturity and asset price, I have an intuition that the difference between fair ...
1
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2answers
124 views

Show that $\int_0^T(T-t)dW_t=\int_0^TW_t \ dt$

I want to show that $$\int_0^T(T-t)dW_t=\int_0^TW_t \ dt \tag1$$ By Ito's lemma we can write $$d((T-t)W_t)=(T-t)dW_t-W_t \ dt.\tag{2}$$ Now If I integrate this expression and use that $W_0=0$ I should ...
1
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0answers
33 views

How do I deal with nonexistant data in a time series with an irregular frequency?

I am trying to do some time series analysis on the margin resulting from three specific commodity futures contracts and ultimately forecast the margin. The margin is calculated as M = F1 + F2 - F3. I ...
1
vote
1answer
121 views

Clean noisy data from arbitrage

My problem is that I have a surface of implied black volatilites that is supposed to represent market data. However, the surface contains some slight arbitrage. More precisely, the graph contains ...
1
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2answers
482 views

How to prove no-arbitrage when a long butterfly is strictly positive?

I want to prove why there are no arbitrage opportunities when a long butterfly is strictly positive. I know there is a similar topic out there, but it seems it doesn't solve my question: Prove that ...
1
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0answers
39 views

MatLab code does not work for Heston model calibration

I am trying to calibrate Heston model on some data and I have the following code. Code is supposed, after it reads the data, to give back 5 parameters. However, I get an empty answer from MatLab. Does ...
1
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0answers
31 views

Option pricing and GARCH resources

Can anyone suggest resources for option pricing using GARCH models? Although I have a fairly good knowledge of GARCH models, for some reason I cannot seem to be able to follow Duan's paper and how to ...
0
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0answers
8 views

How to model run-off ratio for non-defined maturity deposit?

I'm trying to model run off ratios for different deposit products as well as how long it takes to lose all deposits, would anyone please suggest any methodology? In addition, would I be able to define ...
2
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0answers
56 views

Switching from EONIA to ESTR for CSA discounting

In practice, when bilateral counterparties switch from OIS to ESTR discounting, the party which sees a fall in the fair value of the CSA contract gets compensated for the decrease by the other party (...
2
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0answers
41 views

Cost of Volga & Vanna in Credit Options?

What are the commonly used methods to compare the cost of volga/vanna in credit index options across time and strikes? In practice, is the Vanna-Volga exposure technique used in credit, or are there ...
0
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0answers
32 views

Implications of modeling operational risks without frequency distribution

When modeling operational risk, the Loss Distribution Approach (LDA) is widely used. Usually, we model the loss frequency distribution and the loss severity distribution and then aggregate both to ...
0
votes
1answer
55 views

QuantLib Python: how to calculate duration and convexity for irregular cashflows? Can I use SimpleCashFlow or must I define a custom bond?

I have 2 questions: If I want to discount a set of irregular cashflows, I can do it using the SimpleCashFlow class, or defining a bond with custom cashflows (thank you to Ballabio and David Duarte for ...
3
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0answers
54 views

Implementation of solvers for curve construction

I'd be really interested to hear people's experiences of implementing global solvers for curve construction, especially with regard to how robust the approach is in practice, numerical performance, ...
0
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0answers
26 views

Whitespace in Option Symbols

A while ago exchange-traded option symbols migrated to a 21-character descriptor, formalized by the Options Clearing Corporation (OCC), consisting of: 7 characters: root or underlying symbol 6 ...
1
vote
0answers
54 views

Heston Model Calibration with MatLab: model prices do not fall in the bid-ask range

I am currently implementing the MatLab code reported below for the calibration of Heston Model. The code seems fine and, by reading the paper where I took the code, I was able to calibrate and price ...
0
votes
1answer
42 views

QuantLib Python: why is the NPV different? NPV(0.1,[0,110]) should be 100, not 99.53

I am trying to learn QuantLib for Python. Further to my previous question on the syntax for CashFlows.npv(), now that I understand how the syntax works, I have a question on why the output differs ...
1
vote
1answer
46 views

Modelling Skew when using ARMA Time Series

I am currently modelling financial time series via ARMA processes, but I have reason to believe that in addition to significant autocorrelation, the time series also exhibit skewness. Is there a way ...
0
votes
2answers
33 views

QuantLib Python: how to calculate the npv of irregular cashflows?

I am trying to learn QuantLib for Python but I must say I am banging my head against the documentation (I also bought Ballabio's python cookbook) - maybe it's me, but even finding the most basic ...
1
vote
1answer
68 views

Efficient market hypothesis and martingales

One of the tasks in the book we´re using in introduction to finance is Stocks are expected to earn (much) more than the risk-free interest rate. This means that stock prices are expected to increase ...
1
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0answers
37 views

Greeks of caps,floors and swaptions

I will have an interview for a junior position as interest rates volatility trader. I would like ask you some questions about greeks of caps floors and swaptions. Are Caps vega positive? Are floors ...
0
votes
0answers
27 views

Interest rate futures notional

I was wondering what is the notional used to calculate tick values when the underlying of the futures is the average of an overnight rate (eg 1m SONIA futures, 1m EONIA futures, etc.)? When the ...
1
vote
2answers
101 views

Alternative data providers

What data vendors/providers have you come across or used for alternative datasets? Not talking about market data here. Things like rainfall, coronavirus stats, new car production in China etc. I
0
votes
1answer
40 views

Converting pandas datetime to QuantLib dates: why do the inputs need to be converted to int only some times? It seems random

I am trying to use the QuantLib library with Python. In the example below, I create a pandas dataframe with some dates and some cashflows, convert the dates from pandas' format to QuantLib's, and use ...
0
votes
0answers
62 views

SDF derivation by a stochastic process

I have a stochastic process to model the stochastic discount factor (SDF) with M: \begin{equation} dM_t = aM_tdt + bM_t d Z_t \end{equation} where, $Z_t$ is a standard brownian motion. How do I show ...
1
vote
1answer
47 views

What are the mechanisms at play determining option pricing on stocks?

Suppose a stock is currently at 100. If there are more willing buyers of a stock (retail investors, institutionals etc.) at $110 than sellers (also retail investors, institutionals etc.), you would ...
0
votes
1answer
15 views

should I persist the daily/weekly bar data

Suppose a small quant group (4 guys) and the tick data is in hand, shall they persist the historical daily/weekly or even smaller scale like hourly/minutes bars data, or just do the on-demand ...

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