# All Questions

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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 ...
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 ...
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 ...
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{...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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?
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,...
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 ...
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: $dX_t= \mu_t dt +\sigma_t dW_t$...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
308 views

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

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 ...
228 views

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,...
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-...
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 ...
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 ...
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 ...