# All Questions

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### Hong Kong stocks and HSI - Turnover and market cap in HKD?

Hello sorry newbie questions - HSI (Hang Seng Index) and stocks under it, dividend,Turnover and Market Cap always in USD or in local currency HKD? This is actually a broader questions for Asian ...
2answers
134 views

### How to calculate risk of portfolio in last part [closed]

Investment decisions are not taken in insolation; investors have to consider market dynamics and firm level factors to choose among various available securities. Among different factors affecting the ...
1answer
81 views

### How to calculate number of round trips given volatility?

Suppose we know stock price volatility is normally distributed with mean = 0 and annual volatility say 20%. Let's assume markets never close and we can trade at 1 second intervals. Let's assume stock ...
1answer
542 views

### Expectation of the product of two Brownian motions [closed]

Could you please let me know the steps to follow to get to the solution?
1answer
58 views

### Find a relationship between the present value and future value of an annuity [closed]

The following is a previous examination question in Financial Mathematics: If $A, r, n, PV$ and $FV$ represents the ordinary annuity (annuity immediate) amount, rate of interest, number of years, ...
1answer
823 views

### Choosing programming language for the next generation of a pricing library [closed]

If I were to start development of a pricing library, which programming language would be most suitable to satisfy the following needs: Implement highly parallelizable pricing models using GPU or any ...
2answers
5k views

### Why is my Covariance matrix not positive definite?

I'm trying to do PCA on historic forward rates. I'm using forward rates from the Bank of England going from Jan 2015 through end of May 2018. I calculate the differences in the rates from one day to ...
1answer
127 views

### Does the price of an asset need to be constant in order for its volatility to be zero? [closed]

What are the conditions for the volatility of an asset to be zero? In my opinion, the only condition is that the return on the asset needs to be constant. On the web, some people imply that the ...
1answer
80 views

### What is considered the risk free rate? [closed]

I see some place reference the S&P 500 index (SPY) as the risk-free rate and other place reference the 10-year Treasury yield as the risk-free rate. Which one is the correct one?
1answer
422 views

1answer
38 views

### Why would borrowing rates for repurchase agreements be negative

I was reading this article about repurchase agreements. I don't understand this graph: And this paragraph: Borrowing rates using German and French government bonds as collateral fell to minus 4.9% ...
1answer
71 views

### Multi-Factor Beta Help

I'm supposed to find a risk factor that could explain a stock (I chose Netflix) returns. Then, I am to calculate the beta with respect to the factor I suggested as part of a multi-factor model with ...
1answer
138 views

### Binomial Option Valuation Paul Wilmott

I recently purchased Paul Wilmott's Quant Finance FAQ book. In the book he states that the binomial option valuation method is 'rubbish'. Can anyone enlighten me as to what method he recommends for ...
1answer
82 views

### Given a particular Monte-Carlo simulation, how will a different correlated value change

I am currently working on a project at an investment bank regarding new accounting regulations on financial instruments. The task at hand it to understand the connection between a large array of ...
1answer
466 views

### Garch(1,1) in R [closed]

I'm evaluating the impact of two variables on stock returns. For this I am using a Garch(1,1)-model in RStudio. This is the result I am getting. Why is the garch model not a valid choice? The external ...
2answers
765 views

### PRIIPs Stress Scenario

Let me ask you about the following rationale regarding stress scenario (IV Annex 10 (c)): " Identify for each sub interval of length w the historical lognormal returns rt, where t=t0, t1, t2, …, tN. "...
1answer
2k views

### What is the delta of a zero coupon bond? [closed]

I understand that zero coupon bond changes as interest rates change. But I am unsure of how to get the delta. Say I buy a 5Y zero coupon bond with notional amount 5M USD. How do I calculate the delta? ...
1answer
220 views

### How to run optimization to achieve an equal active weight portfolio?

I am trying to build an equal active weight portfolio, while minimizing the total risk. However, my constraint of equal active weight always leads to 0 active weight for everything. I know 0 active ...
1answer
114 views

### Covariance Interest Rate Risk Time Series

Apologies in advance if this question has been asked already. I am estimating basis risk for different term points in the curve. Imagine i have three time series (1-month, 3-month, 1-year). I ...
1answer
232 views

### Why would a weaker dollar keep borrowing costs low

I was reading this article and I am puzzled by this phrase: A weaker dollar has made it easier to sell U.S.-made goods overseas and kept borrowing costs low. How can a weaker dollar keep borrowing ...
2answers
124 views

### How to test a strategy with a small capital? [closed]

I have developed an algorithm / model that predicts the next day direction of CBOT wheat futures. It performs sufficiently well in backtesting that I'm interested to see how it would perform with real ...
1answer
644 views

1answer
482 views

### Trading strategies for illiquid markets [closed]

Is there any literature on trading strategies for illiquid equities markets, such as research papers or articles? I've done some searching but haven't turned anything up.
1answer
241 views

### Why does the partial derivative, $X_t$, of an ABM $X(t)$ not involve standard Brownian motion $Z(t)$, even though $Z(t)$ varies with $t$?

Consider the arithmetic Brownian motion $X(t) = \alpha t + \sigma Z(t)$ and evaluating $dX(t)$ using Ito's lemma. We have $\frac{\partial X}{\partial t} = \alpha$, which does not involve $Z(t)$, even ...
1answer
54 views

### Clarification on the payoff of a portfolio consisting of a long Up&In Put and short Up&In Call

I am trying to make sense of this example: I'm not following the second line in red: "If you buy an up-and-in put and sell an up-and-in call, the payoff is the strike price minus the stock price ...
1answer
136 views

### Zero-coupon Loan Investment [closed]

Zero-coupon default-free interest rates maturing over the next five years are listed below (in percent per annum, continuously-compounded): Maturity Years -- Yield 1 --------------------1.9 2 ------...
1answer
129 views

### Yahoo finance CSV Thursday only data [closed]

Using python 3.5 In yahoo finance I downloaded banknifty .csv the sheet needs to depict three coin toss per day. At random time . However i couldnt automate the date to repeat three times before ...
1answer
270 views

### What are the difference between LCDX vs CDXHY?

I would like to understand what the main differences between LCDX and CDXHY are. Also, can anyone explain what the cancellable feature for LCDS, which is not there for CDS's, is and what it means for ...
1answer
34 views

### Nature of the sample [closed]

When we calculate a difference between the market price and modelled price. so to test the significance whether we apply dependent test or independent test.
2answers
830 views

### Extract Corporate Bond volume

Is it possible to extract the volume of Corporate bonds in Bloomberg with BDP, BDH or BDS function ? Example : 958254AC8 Corp; 98389BAM2 Corp; 94974BFP0 Corp. Doesn't seem like it's possible, even if ...

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