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1answer
53 views

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 ...
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votes
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 ...
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votes
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 ...
-1
votes
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?
-1
votes
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, ...
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votes
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 ...
-1
votes
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 ...
-1
votes
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 ...
-1
votes
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?
-1
votes
1answer
422 views

FF 5 factor model Intercept equal 0

In the paper A five-factor asset pricing model from Fama and French (JFE 2015) they say at page 3: "Treating the parameters in (4) as true values rather than estimates, if the factor exposures $...
-1
votes
1answer
119 views

On the buyside, when people quote a 'price' for a plain vanilla interest rate swap, does it include accrued interest?

The valuation date falls in between coupon payment days on the swap, does the 'price' of a swap understood to include the accrued interest (interest from the previous payment date to the valuation ...
-1
votes
1answer
62 views

How to find beta from the information given? [closed]

This is an exam question. I know that to find beta I need the covariance between the portfolio and asset A but don't know how to find it.
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votes
4answers
2k views

How to download bloomberg intraday data efficiently with API

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research ...
-1
votes
1answer
113 views

Where can I find free security and derivative pricing software?

I am looking for a free derivative valuation software that can compute value and sensitivities. It should be easy and straightforward to use, e.g., I can get results by supplying market data and trade ...
-1
votes
1answer
66 views

ARIMA vs ARIMA + GARCH [closed]

If an ARIMA model converges quickly, would using GARCH improve the forecast performance? By improve I mean provide longer time periods for forecasts. Basically trying to forecast returns.
-1
votes
2answers
52 views

What would be the issue price of the following contract?

Stock currently A has a price equal to 100. Stock B also currently has a price of 100. The contract has a maturity $\mu$ of one year. At maturity the payout is the max price of either A or B. What is ...
-1
votes
1answer
35 views

Conversion of annual interest rate compounded monthly to monthly effective interest rate [closed]

I am given that the annual interest rate is $r=4\%$ and that it is compounded monthly. I have to find the monthly effective interest rate. If I wanted the annual effective interest rate, I would use ...
-1
votes
1answer
23 views

Conversion of 1- month effective interest rate to 6-month effective interest rate [closed]

I am given that the monthly effective interest rate is $1\%$ and I would like to find the $6$ month effective interest rate for a problem. I used the formula $r_e=(1+r)^\frac{m}{n}-1=(1+.01)^\frac{12}...
-1
votes
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% ...
-1
votes
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 ...
-1
votes
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 ...
-1
votes
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 ...
-1
votes
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 ...
-1
votes
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. "...
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votes
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? ...
-1
votes
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 ...
-1
votes
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 ...
-1
votes
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 ...
-1
votes
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 ...
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votes
1answer
644 views

Option on Futures - Black Equation Derivation

How to derive Generalised Black equation for Option on Future using generalised Black Scholes Equation $$F=exp(r(T−t))S$$ $$\frac{\partial V}{\partial t} + \frac{1}{2}\sigma^2F^2\frac{\partial^2 V}{...
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votes
1answer
532 views

I built a monte carlo simulation option pricer in excel. How do i modify it to price american options?

I see several methods to modify the monte carlo model to price american option payoffs. However, the math looks a little too complex to model into excel - i am looking at the least square methods by ...
-1
votes
1answer
413 views

Got “Error in ans\$res: \$ operator is invalid for atomic vectors” when rolling forecast using rugarch

I used the ugarchroll in rugarch packages and got a strange error: Error in ans$res: $ operator is invalid for atomic vectors But I don't have ...
-1
votes
1answer
43 views

When computing with rates, how long is a year? how long is a day?

The convention says that when computing with rates, $1$ year has $360$ days. Does this mean that, when computing with rates, $1$ year has $360$ normal days or 1 day is $\frac{365 \times 24}{360} = 24....
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votes
1answer
1k views

Put call parity in practice

I understand the Wikipedia article for put-call parity on a theoretical level: if you magically had portfolios consisting of 1) long a call, short a put, and 2) long the stock, short a discounted ...
-1
votes
1answer
115 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
252 views

time series for futures roll

I'm trying to build a multi year time series for a 3 month futures contract. How do I handle rolls? On the day of roll, volatility is high and I want to roll over to next contract series in a way that ...
-1
votes
1answer
129 views

Yield-to-maturity determines bond price or viceversa?

when I attended fixed-income classes, my Professor used to say that yield-to-maturity determines bond price and not viceversa. I was wondering the meaning of this statement since the definition of ...
-1
votes
1answer
60 views

Calculating the Cost of Delay

I am working on a problem in Davidson and Herskovitz workbook titled the Mortgage-Backed Securities Workbook. The questions asks to find the total opportunity cost to the investor of having a $1 ...
-1
votes
2answers
94 views

Compute gaussian VaR with a “1-month horizon”

I am trying to compute VaR for a long-only equity portfolio, under the assumption that all stock returns are normally distributed, using a "1-month horizon" methodology. How do I do it? Do I compute ...
-1
votes
1answer
147 views

Covariance matrix for VaR: what to do with missing data?

I need to compute a covariance matrix using three years of stock returns from a portfolio which has a couple of stocks with only one or two years of history (being relatively new stocks). Should I ...
-1
votes
1answer
49 views

How to deduce the mode associated with a call option value?

Option value being expressed: $$OV=e^{-rT}E[max(V-K,0)] \tag{1}$$ Where $V$ is the price of the underlying security, $K$ is the strike price, and $r,T$ are discount rate and time to exercise date, ...
-1
votes
1answer
224 views

Use random-shift Halton sequence to obtain 40 independent estimates for the price of a European call

Background Information: Random-shift Halton sequence: Consider the first six Halton vectors in dimension $2$, using base $2$ and $3$: $$\begin{bmatrix} 1/2\\ 1/3 \end{bmatrix}, \begin{bmatrix} 1/4\\ ...
-1
votes
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.
-1
votes
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 ...
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votes
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 ...
-1
votes
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 ------...
-1
votes
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 ...
-1
votes
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 ...
-1
votes
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.
-1
votes
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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