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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
298 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
370 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
422 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 ...
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votes
1answer
225 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
486 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
272 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^...
-1
votes
1answer
47 views

How to calculate daily interest at different rates each day? [closed]

I have the following issue: I need to calculate the daily income of a financial application over a period based on a percentage of a daily financial index. The problem is that for each day, this ...
-1
votes
1answer
176 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
268 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
129 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
111 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
160 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
470 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
1answer
346 views

Momentum strategy cumulation of K-monthly returns over multiple months [duplicate]

In a momentum strategy, every month you form a portfolio of winners. Each of these portfolio you hold for K months. So after K months you sell the 1st portfolio, after K+1 months you sell the next and ...
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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
214 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
41 views

Filtering “anomalous” time and sales prints

I'm building an algorithm which uses a live market data feed to updates its P&L and other metrics. I've been noticing that sometimes in the time and sales there are anomalous prints - prices many ...
-1
votes
1answer
471 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
398 views

z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?

I need to compare (get correlation between) different financial instruments (stocks). The problem is that different stocks will have different price scales. I was thinking of using z-score ...
-1
votes
1answer
260 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
votes
1answer
714 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 ...
-1
votes
2answers
97 views

Bull spread problem [closed]

I am new to finance math and I would like to know if my approach to this problem is correct Consider the following three European call options, all with expiration at time $T$ = 1: Option $A$ has ...
-1
votes
1answer
229 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
161 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 $...
-1
votes
1answer
68 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-...
-1
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
611 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
520 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
votes
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.
-1
votes
1answer
660 views

Swaption Corridor Payoff Diagram

What does the payoff diagram look like for a long payer swaption corridor? For example, suppose that I am looking at a long-payer $1 \times 10$-year swaption with 10Y swaps as the underlying. If I ...
-1
votes
1answer
625 views

How to fit a skew normal/t copula to data?

I want to use either the skew normal copula or the skew t copula with a time-varying correlation matrix. But so far I haven't found any way to implement this either in R or Matlab. Would anyone be ...
-1
votes
2answers
1k views

Quanto derivatives and FX risk management

Let us assume that we have a foreign asset with volatility $\sigma_{ASSET}$. Now, I know that when pricing this under the foreign measure, I need to do a drift adjustment, namely $\sigma_{ASSET NEW}^2 ...
-1
votes
1answer
104 views

Financial statement and stock market data [duplicate]

How is it possible to have access to Datastream, Bloomberg, Wrds database? Is there another free database with long historical data? In fact, I need long time series data belonging to NYSE and NASADAQ ...
-1
votes
1answer
150 views

Pricing of Interest rate swap with start ex. 01/06/2015 to 03/06/2015 - 2 extra days? Change discount factor and fixed payments?

I hope you can help me. So let say we have an interest rate swap, with the following characteristic: Start in 30/06/2015. End in 02/07/2019 It has fixed payment every year, and floating every ...
-1
votes
2answers
76 views

Is my demand prediction too low?

I have a problem right now at work. For certain business segments, some sales target are established each year. These targets are established based on the managers feelings. It's like this: Manager: ...
-1
votes
1answer
80 views

Determining confidence level of directional signals

With regards to technical analysis, are there ways of determining the confidence level of a directional signal? Taking a relative strength index (RSI) as an example, can the extent to which an asset ...
-1
votes
1answer
87 views

Comparison of quality across different fundamentals data sources?

There are a variety of different mechanisms and rules used by each fundamentals data provider to standardize and report company fundamentals. For example, the transformation of reported statements to ...
-1
votes
2answers
858 views

adding dummy variable to ts object in r for particular quarter

I've looked all over and can't seem to get a clear idea of how to do this; I have ts data with quarterly frequencies. I simply want to add a dummy variable only for the data corresponding to Q4 but I ...
-1
votes
1answer
29 views

How does Fed Qe affect the housing sales in the US? Why does it happen to be that way?

From my research, Fed's Qe should encourage house sales, however the graph shows houses price in the state seem to gradually go down after 2009. Isn't that contradicting itself? Ain't the increase in ...
-1
votes
1answer
116 views

Why do I get this error using ghyp-distribution function?

I want to fit multivariate GH distribution on my data, and then generate simulations for that distribution. Using the instructions given in ghyp package, I wrote following lines of code in R. ...
-1
votes
1answer
174 views

Calculating the volatility for Black Scholes

The following problem is from the book by Hull. I did it but I am not sure it is right. I am hoping that somebody here can tell me if I did it right and if not where I went wrong. Thanks Bob Problem:...
-1
votes
1answer
215 views

Finding Discount Bond Matrix in LMM Model C++

I am working on a 1 Factor Libor Market Model (LMM) in C++ and I working my implementation of the formula to find my Discount Bond matrix via the following formula: In the case of my model alpha is ...
-1
votes
2answers
257 views

Computing loss of Call / Stock Purchase

A seller of an European Call, can, subjectively have unbounded losses. This loss may be mitigated by buying the stock (covered call). In this case,, the loss will be bounded at A. How would one ...
-1
votes
1answer
335 views

where to get shares trading info [closed]

I have no idea about finances, trading and other things. But very interested in passive long term income. I've read many things about how cheap was microsoft, google, facebook shares in the past. ...
-1
votes
1answer
520 views

Is the code of my binary call option pricer (using explicit finite difference, backward scheme) correct? [closed]

I am using explicit finite difference (backward scheme) to price a binary call option. Here is my MATLAB code: ...

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