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1answer
185 views

stress testing zero coupon yield curve

i'm currently trying to stress test the zero coupon yield curve using daily observations from 2003 to 2019. Each Zero coupon yield curve originate from an actuarial curve with 37 tenors that range ...
0
votes
1answer
35 views

Does QuickFIX set PreviouslyReported field itself?

I'm using QuickFIX C++ engine in my project. I send a TradeCaptureReport message to a counter party. There's a field named PreviouslyReported in this message. I set this value to N in the message ...
0
votes
1answer
157 views

(Self studying) Finding data on Bloomberg

I apologize for asking this very simple question, but I was reading through this chart for the first time, and I would like to know where on Bloomberg can I find data like these, since I have to price ...
0
votes
1answer
329 views

Default Probability calculation. How to solve system of 2 non linear equations?

I am trying to repeat calculations from Hull(options futures and other derivatives) chapter "Using Equity Prices to Estimate Default Probabilities". I want to solve system of 2 equations: \begin{...
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1answer
181 views

Implied volatility in parametric VaR

I'm calculating 1-day parametric VaR estimates for a stock index under the simple assumption that the returns are normally distributed. My question is, what is your opinion of using a volatility index ...
0
votes
1answer
64 views

Is there an open architecture API or excel solution for calculating and adjusting bond pricing?

Is there an open architecture API for calculating and adjusting bond prices? I am looking to adjust bond pricing on OAS or adjusted spreads to various indices and need a tool to process large amounts ...
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votes
1answer
3k views

How can an FRA create arbitrage opportunities?

I'm working through Options, Futures and Other Derivatives (beginner trying to understand investment banking). I've more or less followed the discussion of interest rates, forward rates and forward ...
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1answer
7k views

Discount Curve Vs Forward Curve

This could be a trivial question, but would I like to clear the concepts. Our firm started sourcing the Murex Trades which has all the variety of Derivative products. I noticed that the Curve ...
0
votes
1answer
101 views

Including a score or a rank in portfolio-optimization

I have gathered a lot of experience using min-var optimization of the form $$ w' \Sigma w \rightarrow Min, $$ where $w$ are the weights of the assets and $\Sigma$ is the covariance matrix. Of course ...
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1answer
105 views

Black Scholes: two assets, same $W$-process

Consider a Black Scholes model with two risky assets that are driven by the same $W$-process, and then 1 risk-free asset. When is this model arbitrage-free and complete? We have only 1 driving ...
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1answer
78 views

Backtesting a stock scoring model

I'm working on a simple stock scoring model consisiting of 3 factors: 1.market cap 2.liquidity of the stock 3.the value at risk we defined 3 intervals for each factor and we assigned the ...
-1
votes
1answer
41 views

Smoothing of Implied Volatilty

I'm using ATM 30D implied volatility in a model I'm building, but need to smooth out the data. Is the best way just to use exponential smoothing or are there any better alternatives?
-1
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1answer
37 views

Differences Between Portfolio Daily Average Returns

I have a doubt about the average daily return for a 2 stock porfolio. I have the data of both stock returns over a 1511 day period. I used 2 approachs to calculate the average return. In the first one,...
-1
votes
2answers
263 views

Position Sizing Algorithm for Multi Asset Portfolio

I'm currently working on a position sizing algorithm for my trading system. By combining fixed ratio money management and setting the stop loss based on the current ATR value I receive reasonable ...
-1
votes
1answer
70 views

Differential product Correlated processes

I am trying to derive the differential of the product of two processes, but I got stuck. This is what I have until now: We have the following two stochastic processes: $dX_t= \mu_t dt +\sigma_t dW_t$...
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votes
1answer
758 views

Calculate Idiosyncratic Risk?

I have basic finance background but I am trying to calculate idiosyncratic risk as measure for firm risk in my CEO gender research. I have found the following on Alpha architect but I am unsure of ...
-1
votes
1answer
38 views

How to interpret the accuracy result of the forecaste?

I'm trying to forecast the vacancy rate of multifamily rental property. I have the data from 1992 until today. I'm trying to fit a model with the serie without the last 2 observations. I only need ...
-1
votes
1answer
266 views

Bermudan Swaptions

Can someone explain, in layman's terms, the mechanics behind Bermudan Swapttions ( without having recourse to pricing models )? Why are they popular? when are they used ? How are they hedged i.e ...
-1
votes
1answer
73 views

transaction costs for day trading options

I want to day trade SPY options by buying at the open and closing the position later in the day, but I need to know approximately how far into the money the contract will have to be for me to break ...
-1
votes
1answer
26 views

Factor Models: uncorrelated errors don't impact covariances of assets

This question stems from time series factor models (e.g., CAPM, Fama-French, etc.), but is a broader idea. I am trying to comprehend how adding noise to a time series (e.g., error/residual from a ...
-1
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1answer
41 views

Linear programming cash match portfolio - how to formulate?

How would you formulate this linear program in standard form? (ie objective function and constraints). any help would be appreciated. I don't understand how to formulate this without having an ...
-1
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1answer
52 views

Calculate price variance caused by denominating currency

I would like to calculate asset correlations while excluding movements resulting from the denominating currency (as much as possible). My common sense tells me that any two assets with the same ...
-1
votes
1answer
308 views

Asset Swap Spreads

This is John Hull's book Options, Futures and Other Derivatives 9th Page 549 The process of calculating the ...
-1
votes
1answer
381 views

How to calculate the yield of a forward bond price from the zero curve

We want to use the Duration to convert forward price volatility to yield volatility with ...
-1
votes
1answer
425 views

Carhart (1997) momentum factor loading

I am evaluating the performance of a sample of 1000 mutual funds over the period 2000 to 2017 using Carhart (1997) four factor model. As a way to test for robustness, I use two benchmarks. The CRSP ...
-1
votes
1answer
228 views

This is the dirty price or clean price

A one year bond of principle 100, coupon 6% with half year paying and yield 11%. Suppose the beginning day of bond is 1.1 and today is 3.1, then I want to ask that, the price $$c = \dfrac{3}{e^{0.11 *...
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votes
1answer
78 views

VaR estimation when returns are not independent, e.g. ARCH

Time series of returns, $r_t$, in finance are often modeled with some type of conditional heteroskedasticity model, e.g. ARCH(1): $$r_t = \sigma_t z_t$$ $$\sigma_t^2 = a_0 +a_1 r_{t-1}^2$$ where, ...
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votes
1answer
493 views

quantstrat for backtesting vs. writing one's own code in R

I have invested a few years in learning R and have developed a number of Monte Carlo backtesting scripts. My question is this: In general, for a person with some experience writing R code who is ...
-1
votes
1answer
275 views

Intensity of Exponential Distribution

How do I show the following: Suppose $\lambda=-\frac{S'(x)}{S(x)}$, where $S(x)=1-F(x)$ is survival probability. Show that $\lambda$ is the intensity of the exponential distribution with cdf $F(x)=1-e^...
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votes
1answer
179 views

Help to understand the XRBL format used in Uniform Bank Performance Reports (UBPR) from the FFIEC

I'm working on a project to extract the reporting data of federal financial institutions from the FFIEC site (using Python programming). The data is coming from the Uniform Bank Performance Report (...
-1
votes
1answer
278 views

Why does option pricing not depend on probabilities in a binomial tree style valuation

I am new into learning option pricing and read that option pricing using binomial valuation does not depend on probabilities (real or risk neutral). Example: A 1 period binomial tree with $u = 1/d = ...
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votes
1answer
132 views

ITCH feed, price executed at different to original order?

I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
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votes
1answer
113 views

How to forecast Value-at-Risk in R with different assumptions?

I'm calculating 1-day parametric VaR estimates under the assumption that the returns are distributed as a generalized error distribution. I have the historical observations of the returns, obtained ...
-1
votes
1answer
161 views

SPY American option Greeks and Premium

I am trying to replicate Ivolatility.com's option calculator for a client. Here's the example Using standard Black Scholes model, I can replicate the exact calculations if there is no dividend. With ...
-1
votes
1answer
475 views

Where to get historical IV rank & IV percentile data?

I thought my broker (Interactive Brokers) was offering this but looks like what they actually supply is IV / with historical realized volatility. I also checked Quandl but as this is not data for ...
-1
votes
2answers
48 views

Where to find risk report/models for treasury spreads trading?

I trade a lot of treasury curves, so say I have a portfolio of treasury cash and futures products (longs and shorts). How do I find the portfolio DV01 risk and curve risk? I couldn't find anything ...
-1
votes
1answer
88 views

why swap rate not dependent on valuation date?

When I review my course on swaps, I read the following sentence: the value of the swap rate is independent of the valuation date(even though the PV's of the individual legs of the swap are clearly ...
-1
votes
1answer
219 views

Super Hedging in incomplete Trinomial Tree

I have a question concerning the super-replication of a call in a trinomial tree which has the following characteristics: Suppose we have one risky asset $S_t=2+\sum_{k=1}^tZ_i$, where $P(Z_i=0)=P(...
-1
votes
1answer
472 views

How to use exponential smoothing for trading?

I was wondering if there's a rule of thumb regarding the value of alpha used when performing exponential smoothing. I plan to use this technique to preprocess my data before feeding them into my ...
-1
votes
1answer
267 views

How to derive the Black Scholes partial differential equation from a stock log-normal distribution?

Is there a way to go from this $$\ln S_t=\ln S_0+(\mu-\sigma^2/2)t+\sigma W_t $$ $$\ln S_t\sim N[\ln S_0+(\mu-\sigma^2/2)t, (\sigma^2)t]$$ To the Black-Scholes partial differential equation?
-1
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1answer
726 views

Where to find historical fundamental data of S&P constituents in Thomson Reuters database?

I need data such as Net Income, ROA, ROE, etc. for companies in S&P 500 Index. I would like to see the values also for other years, e.g., since 2010. However, when I log-in to Thomson Reuters ...
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votes
1answer
231 views

Is it possible to hedge Spread Risk on a Forward Swap?

You can enter a forward swap to eliminate interest rate risk, but the spread risk still exists when the swap actually goes into effect. My goal is to convert a floating rate credit facility that will ...
-1
votes
1answer
163 views

Terminal Condition for American Put Option

In a recent book I read, the author mentioned the terminal condition $$\mathop {\lim }\limits_{t \to T} V(S,t) = \max \left\{ {X - S,0} \right\}$$  This is intuitive to understand. Then he defines $...
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votes
1answer
69 views

Pricing Debt/Credit/Mortgage+ Prepayment- Literature?

Does someone know some good literature(Papers or Books) regarding the topic how to Price debt/credit with prepayment? I just found literature about the general topic , like how to price callable bonds,...
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votes
2answers
454 views

Falling Futures prices positively correlated with interest rates

I'm having trouble understanding how Futures are worth more than Forwards when price and interest rates are positively correlated but both declining. For instance, a Future with losses of -5 at T(n-...
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votes
1answer
73 views

Why would a principal 'insist on a name' at the original price

A Dealing Certificate practice question What is a principal doing if he 'insists on a name' at the original price? Answer: He refuses the broker's compensation and demands that the transaction is ...
-1
votes
1answer
614 views

pair trading cointegration - calculating shares quantities traded, portfolio value and returns

I have a trading strategy based on the cointegration of X and Y where beta derived from the regression is 0.7. My initial capital to invest is 1000. My understanding that the quantities of X and Y to ...
-1
votes
1answer
528 views

Fitting Tail Data to Generalized Pareto Distribution in R

I have a dataset of S&P500 returns for 16 yrs. When I plot the ECDF of the S&P500 and compare it against the CDF of an equivalent Normal distribution, I can see the existence of Fat Tails in ...
-1
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1answer
2k views

Compute I-spread from ASW-spread (or vice versa)

The I-spread ("mid swap spread" or yield-yield spread) is a standlone measure of credit risk, a security against matched maturity vanilla swap rate. Consider a package in which the investor receives ...
-1
votes
1answer
86 views

How to calculate the elapsed time until a stock reach a certain price?

In specific, I will set a certain price to a stock and I want to know how long takes until the historical prices reach this price. Thanks you.

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