# All Questions

17,002 questions
Filter by
Sorted by
Tagged with
93 views

### CDS - IR currency for conversion between upfront and conventional spread

I was looking at a set of CDS quotes from Markit, for USD denominated CDS, for a reference entity whose standard contract currency is EUR. The quotes were for 6 Nov 2020. Markit provide three quotes, ...
151 views

### 1 Factor Hull And White Swaption Calibration

I'm trying to calibrate a Hull and White model with constant volatility, mean reversion and theta such that the model can reproduce the initial Term Structure. I'm using this python code adapted from &...
46 views

### Why does higher volatility for ATM Call Option lead to a lower risk-neutral probability of expiring ITM?

This is a follow-up question on the discussion in the thread here, from which I borrow the graph below depicting $N(d_2)$ (i.e. the risk neutral probability of a Call option expiring in the money) ...
43 views

### Valuation of Floating Rate bond

Let say, I have some floating rate bond where the coupon depends on 6-month Libor with semi-annual payments. In a typical text-...
46 views

### QuantLib Bond Yield

I think I have the same question as was asked here but I still haven't been able to resolve my issue: Excel YIELD function equivalent in python Quantlib I am trying to calculate the yield on a bond ...
24 views

### Appropriateness of the Bloomberg CLO Cashflow Generator

Since CLOs seem to gain in popularity because of the COVID-19 crisis, I came across the possibility in Bloomberg to generate cashflows for newly issued CLOs through the function "weighted average ...
53 views

### ICVS 133 Bloomberg Curve

This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants. I'm ...
49 views

### IFRS9 - Lifetime Expected Credit Losses (ECL) Probability of Default (PD) - how do they get distributed in quarters?

Let's assume we calculate a Lifetime ECL of 5 years. How do we then distribute the expected losses in each of the following 20 quarters? Do we just divide the lifetime ECL by 20 and calculate the ...
36 views

### Any experience with synchronization of time series to adjust for daylight saving time?

I am currently working on a trading project where I essentially have two time series. One is high frequency intraday trading data that does not take daylight saving into account. The second one is a ...
37 views

### How rising inflation translates into negative interest rates? [closed]

Anders Aslund in his famous and well-received book on Global financial crisis in the Baltic countries "How Latvia Came Through the Financial Crisis" writes: None of the big banks received ...
29 views

### Entropy pooling multiple views on same asset faliure

I have implemented Meucci’s Entropy pooling model in Python. Well the codes run very well until I find out that when I apply two side views on the same asset, the scipy optimizer would report a ...
43 views

### Trying to understand brazil derivatives market

I am trying to get a better understanding of brazil's market, specially derivs. I know they have certain instruments such as "Convertibility" (based on the yields spread between onshore and ...
48 views

### How USD indexed bonds work and what is their relation to USD futures?

I am reading about the Brazilian real devaluation crisis in 2013 around the QE3 taper announcement. As far as I understand, capital flows went back from emerging economies like Brazil to developed ...
6 views

### Per-user pricing / overlapping pricing

I am releasing some educational software that can track student progress. I am having trouble coming up with a good pricing scheme. I do not want it to be too cheap for single users as there is a lot ...
78 views

58 views

### Probability of Default calculation

I am looking for some good resources with handful of workout examples, on the modelling of the Probability of Default under IFRS9...
35 views

### Path dependency for Delta hedge value

This is actually a follow-up questions for the two threads below - value of a delta hedged option: Delta hedge value formula Continuous delta hedge formula My question is that how the drift (mu) ...
31 views

### Comparing curve fits

I am experimenting with building a forward curve. I have a piece of code which constructs my prototype curve. I've got a curve sample which was constructed manually and I use it as the baseline - the &...
45 views

### Escape Dynamics in financial economics or time series

These slides describe escape dynamics to be a type of, or having some relation to, rare event(s). Black swan events in business cycles was also included under the definition of rare events. My guess ...
111 views

### Large deviations theory in finance

In probability theory, the theory of large deviations concerns the asymptotic behavior of remote tails of sequences of probability distributions. A related post says: Large deviations theory is ...
Let's say we're given a stock $S$, and let's denote by $S_t$ the market price (the last price at which the stock was traded, generally not equal to the midprice) of stock $S$ at time $t$. Is there a ...