# All Questions

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### Why does change in Sight Deposits reflect Swiss National Bank FX action

I am confused of how the Swiss National Bank's famous FX interventions are reflected in the change in Sight Deposits. Against the backdrop of the ECB meeting, it is said that the SNB has taken ...
7 views

### Definition of interest rates in binomial tree model

I'm studying financial mathematics from Shreve's text. I have two problems. 1) "for a binomial tree with three steps, where $S_0=20$, $u=1.05$, $d=.95$ and continuously compounded risk-free interest ...
19 views

### How to calculate average entry price for perpetual swap contracts?

I'm trying to calculate the average entry price for perpetual swap contracts for use in back-testing a trading strategy, as per Bitmex's documentation: A Perpetual Contract is a derivative product ...
23 views

### Options pricing equations mission impossible [on hold]

So if I was Ethan Hunt, I would break into the exchanges and go to their mainframe computer while hanging from a thread and insert a super secret disk and download the data but since I am not him (yet?...
20 views

### Why do not include loan payments in NPV?

Textbooks in finance claim that one should not include financial cashflows in capital budgeting. I get the idea of not including interest (as it should be included in the cost of capital), but I don't ...
31 views

### Optimizing monte carlo code in python [on hold]

What are they key points to use while coding a monte carlo simulation in python? I have the following monte carlo code : ...
33 views

### Basis Swaps in Quantlib/Python

I am aware that I can create a IRS in Quantlib/Python by using the following function: ...
26 views

### Alternative relative performance measure to Sharpe ratio for non-IID return

The Sharpe ratio is often used to compare the relative performance of portfolios despite its IID-assumption for the returns being violated. I can find ample warnings about the consequences of ...
28 views

### <Credit Default Swap> Auction Recovery vs Fixed Recovery

What is the Difference between Auction Recovery CDS and Fixed Recovery CDS?
17 views

### Manually calculating and backtesting VaR and CVaR from DCC-GARCH R

I estimated a GARCH fit to the log returns of three series (CAC 40, a french real estate index and french T10 bond yield series) using rugarch. I then manually ...
37 views

### When to remove a trading strategy?

Every strategy has a limited lifespan. How do you decide when to stop a particular strategy as it has lost its edge? Few of things that can be thought is strategy crossing its maximum drawdown, net ...
23 views

### Understanding Front-End Spreads (terminology, lingo, convention)

Would appreciate a clear explanation as to what the OIS/Tsy spread and the TU OIS spread is. I've seen it being talked about in Wall St research reports but can't seem to find good explanations on ...
102 views

### When would open interest equal trading volume?

I know the difference between open interest and trading volume. Open interest is the number of contracts, long or short, outstanding. Trading volume is the number of contracts traded in a day. ...
41 views

### Duan (1995) GARCH Option Pricing Model with MATLAB

I found a MATLAB code online (on Volopta) that replicates the option pricing model proposed by Duan in his paper "The GARCH Option Pricing Model". However, the parameters estimated in the file do not ...
26 views

### Difference between spread duration & IR duration for a fixed rate bond

I am struggling to comprehend the difference in impact between spread duration & IR for a fixed rate bond when yields move. I know that both measures would be the same for a fixed rate bond but ...
39 views

### Using transaction data to predict default of the customer

I am trying to build a prediction model that utilize the huge transaction database of all the customers of a bank. My dataset currently looks like this: ...
50 views

### What is the name of these digital basket options?

Consider a basket of correlated assets $(S_1(t),\ldots, S_N(t))$, as well as a vector of strike prices $(K_1,\ldots,K_N)$, and let's look at the following European payoff types: An option that pays 1€...
35 views

### Calibration using only strike price

I have a binary option and want to calibrate it's BS pricing model. I only have a series of Strike Price vs the Option price, no knowledge on time to maturity, volatility, risk free rate or the ...
278 views

### Px last in Bloomberg

This is my first post to this forum. I want to calculate security returns , so therefore, I have downloaded the PX last price from Bloomberg. My question is: What is PX last in Bloomberg? Is this ...
50 views

### Problem with plot using utils - use cookbook quant finance EONIA curve bootstrap example

I have problem using utils/python_utils function in Python Quantlib. Code is mostly follow CookBook for Quant Finance for Quantlib - EONIA Curve Bootstrap Chapter I imported python-utils, and utils at ...
109 views

### Comparing Investment Style with Fama French 3 Factor Model

How do you evaluate this? I have tried searching online but there are no matching results. Is it just a simple average of the 3 Betas? And how do we determine the investment style aggressiveness? In ...
37 views

### Arbitrage free in a Black-Scholes/Poisson model

I am trying to solve the following exercise from Bjork's Arbitrage Theory in Continuous Time: Consider a model for the stock market where the short rate of interest $r$ is a deterministic ...
23 views

### Finding payoff and profit [on hold]

Consider a European call option on a Microsoft stock with an exercise price of 20 dollars. Assume that the expiration date is in four months and the price of the option is 5 dollars. The current stock ...
37 views

### Quantlib Python OISRateHelper using Quantlib Cookbook - hands on Quant Finance

I am completely new to Python, just trying to reference Quantlib Cookbook to construct eonia curve, here is my code. I didn't change much compared to the cookbook Eonia Curve BootStrapping chapter, ...
33 views

### Finding distinct possible values in binomial tree

I wonder how to solve this problem. Lets say we have a binomial tree with the following parameters: $u=1.25,\ d = 1/u,\ T=15$. How many distinct possible values are there for $X_{7}$?
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### Simple 3 way delta hedge

Consider 3 futures contracts: A BTC/ETH, settled in BTC B USD/ETH, settled in ETH C USD/BTC, settled in BTC As the markets aren't efficient, sometimes these ...
139 views

### Options Market Making Used Implied Volatility Surface

Suppose you are a market maker with a model that is producing an implied volatility surface for you. Suppose you quote bid/ask prices (vols) around the prices given by your implied vol surface. In ...
62 views

### Realized Volatility Methods

Can someone explain to me which of these two methods is more accurate or commonly used to calculate Realized Volatility? I'm seeing both used, but I get very different results from them. 1) Standard ...
63 views

### time series data modeling for deep learning

what is the best format to feed the input data, which are time series with varying density over time, to a deep learning network, while at any iteration we want to feed a batch of data including a ...
52 views

### Different definitions of volatility (simple question)

I have a basic question on volatility that I wanted some clarification on. In finance books (such as Hull), there's a few different ways volatility is defined. One of them is the standard deviation ...
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### Why would a buyer buy a Warrant vs an Option, both having the same economics

Assume you have a Warrant and an Option both with the same economics i.e strike, expiry, type etc. Also assume that the Warrant has been issued by a high grade reputed issuer (i.e there is a almost a ...
16 views

### Searching for historical gold price intraday data

I'm searching for historical gold price intraday data. Can someone help me and tell me where I can get this data from? I need this data for a research project. I've only found data for historical ...
27 views

### PV of security with interest-dependent cash flows

I struggle with the following exercise, where the correct answer is supposed to be "no": A riskless security with cash flow $C_1, C_2, \dots, C_n$ has a market price of $\sum_{i=1}^n C_i\,d(i)$. ...
44 views

### Weighting schemes - Volatility

One extension to this weighting scheme is to assume a long-run variance level in addition to weighted squared return observations. The most frequently used model is an autoregressive conditional ...