# All Questions

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### Rateslib - Pricing 1y EUR vs 6M (EUSA01)

I am using the rateslib python library to try to price some European swaps. It seems to be working for most tenors aside from the 1y for some reason. The code I am using is below: ...
• 103
64 views

### Subpar Results of Historical Portfolio Optimization with Few Assets

Probably a simple question to the P-Quants here, but if you performed portfolio optimization using a historically calibrated covariance matrix (a rolling month of daily returns) with very few assets, ...
• 1,564
91 views

### What XCCY pricing inputs do large market makers use for FX Forwards/Swaps?

While there are a few similar questions on here regarding FXF pricing, I was unable to find something that answers this directly. To be more specific, it's clear that as per CIP, the pricing inputs ...
1 vote
21 views

### Equivalence time-changed models and stochastic volatility models

I suspect that time changed models can be written as a stochastic volatility model (and vice versa) if the random time is independent of the Brownian motion. Specifically, suppose under the risk-...
• 2,153
1 vote
85 views

### Reverse Optimization: finding the returns that satisfy specific weights given one known return

Here is the premise: I have a three asset portfolio, I know the assets covariance, the client's risk aversion and the expected return of one of the assets. I also have a desired set of weights. So, 1) ...
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52 views

### Valuation of forward-starting call with non-zero strike

We know prices for call spread options with strike $K\neq0$ that is an option whose payoff $\varphi(S_T^1,S_T^2)$ is given by: $$\varphi(S_T^1,S_T^2):=(S_T^1-S_T^2-K)^+$$ where $S^1,S^2$ are the ...
• 8,139
342 views

### P&L when hedging with realized volatility

Quoting "The Volatility Smile" of EMANUEL DERMAN MICHAEL B. MILLER, pag.95-96: The hedged portfolio at any time $t$ is given by $\Pi(I,R)=V_{I}-\Delta_{R}X$, where $\sigma_{R}$ is the ...
364 views

### Option: link between Vega and Gamma

I am reading Dynamic Hedging by N. Taleb and I do not understand this statement in Chapter 9: The vega is the integral of the gamma profits over the duration of the option at one volatility minus the ...
• 207
20 views

### BOUNDARY CONDITIONS OF A SABR PDE

I am looking to solve a sabr partial differential equation numerically using finite volume method, but I don't seem to find any information about the boundary condition to apply. Below is the form of ...
31 views

### How to Bootstrap a daily compounding future in QuantLib

Hi I am currently tying to bootstrap the F-TIIE curve for mexican swaps In the short term it uses the F-TIIE Futures. These F-TIIE futures are 1 month futures that start on the first day of the month ...
18 views

### Different CLOB for ONTR securities

I was trying to find the list of all the CLOB for on-the-run UST. I know the following: BrokerTec, TradeWeb which both have different CLOB for ONTR UST. I think Virtu Financial also has one, but I am ...
58 views

### Heston model: odd simulations of variance and asset price process path

I've done Monte Carlo simulations of asset and variance processes of the Heston model on Silver via a Full Truncation of Euler discretisation scheme to learn and see for myself how the simulation ...
• 23
95 views

### Modified duration of T-Bill and zero coupon bond

How to calculate the modified duration of T-bill (discount instrument) and europeans bills (zero coupon instrument). I couldn't find how Bloomberg is calculating those values on YA
1 vote
54 views

### Volatility of S&P 500 based portfolios too low

I am trying to calculate the volatility of five portfolios consisting of S&P 500 stocks. The portfolios consist roughly each of 20% of the S&P 500 members between 2015-2022, rebalanced monthly ...
• 11
1 vote
40 views

### Calculating factor attribution to performance from factor exposures?

The process I have followed so far is that I have filtered out the relevant style factors (momentum, growth, value, etc.) for a portfolio using Lasso regression and then done an OLS to calculate the ...
1 vote
85 views

### Skewness Equivalent to Additivity of Variance

Let $S$ be a diffusion with independent increments and suppose we have options on $S$ with expiries $T_1$ and $T_2$ and ATM implied vols $\sigma_1$ and $\sigma_2$. Let $X_1$ and $X_2$ denote the log ...
1 vote
80 views

### Calibrating CIR to bond prices

Consider the Hull-White model - $$dr_t = (\theta_t - kr_t)dt + \sigma_tdw_t$$ We can/have to calibrate $\theta_t$ to the current bond prices $P(0,t)$ and make it consistent with the HJM framework. For ...
31 views

### What are "Funding Events" for Equity Swaps

have been using PE Swaps deck on Swaps pricing as a reference to understand Equity Swaps better. https://osf.io/72693/download. As I understand it, the Funding Leg Present value can be determined as: ...
• 1
131 views

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24 views

### roll convention on 1 week instrument on LIBOR curve

I am looking at an AUD LIBOR PROJ curve I want to bootstrap, the business day convention for LIBOR is MOD_FOLLOWING, which seems logical for +1M instrument, however for a 1 week instrument should that ...
• 1
196 views

### Quantifying Costs/Benefits Of Partial Hedging

Say I sold a long-dated European put option and I want to analyze the costs and benefits of partial hedges in a world with stochastic price movements, rate movements, and volatility. For example, let'...
57 views

### ql.OvernightIndexFutureRateHelper asking for a fixing, but not able to add it

I´m trying to make a Overnight Index FutureRateHelper but when bootstrapping, the following Error arises: RuntimeError: 1st iteration: failed at 1st alive instrument, pillar May 31st, 2024, maturity ...
68 views

### Regression swap vs bond future

I have to perform a regression to get an hedge ratio. The dependent variable is the change on day of a swap fixed rate (f.i. 10y) and the independent variable is the change on day of a bond future ...
94 views

### swap curve calibration with interpolation using newton-like method

suppose 2 swap market quotes for 1Y and 2Y and that swap payments occur semi-annually. calibrating / obtaining the discount factors means finding 4 unknowns / discount factors that reproduce the ...
41 views

### How to Compute Returns from Cumulative PnL and Price Data for Portfolio Optimization in Algorithmic Trading?

I have a set of algorithmic strategies. Each strategy focus on a specific financial product and generates entry and exit Long or Short signals. So for each strategy we can have periods in which we are ...
21 views

### Cs01 computation for TRS with underlying single name bond

What’s the cs01 calculation formula for TRS with underlying bond for a single corporate issuer? Thanks in advance!
128 views

### Volatility Surface Modelling in Python

For my master thesis, I try to create a Volatility Surface for S&P500 Index options. Every time I run my code, the surface I get is full of spikes. I'm just not sure if these are outliers which ...