8
votes
Accepted
Complex numbers in VBA
Ahhh complex numbers in Excel VBA, the pinnacle of cubicle programming. Been there, done that!
The functions that you quote are indeed returning string types. But ...
- 6,425
5
votes
Could someone teach me how to construct the portfolios by compute (like using R, Excel or Eviews)
First of all, it is not conceivable to do all that work by hand! You are crazy to have just thought it!
Second, if you want to repeat your work with different datasets, I suggest you to use R, since,...
- 575
5
votes
Excel YIELD function equivalent in python Quantlib
Your question is more or less answered in How to calculate bond yield in QuantLib - Python. Once you've built the fixed-rate bond object (as in the post you linked) you can call
...
- 6,963
5
votes
Accepted
Excel PasteSpecial Values shortcut button causing QuantLib to crash
After digging away, I discovered an issue deep within the base QuantLibXL code: a constructor was not handling an exception.
Within the base code that QL uses to wrap the Excel4 C-style interface (...
- 223
5
votes
Accepted
Bloomberg bond clean price and accrued amount differs from Quantlib
Several things might be affecting your result. Check if all the conventions are correct, namely the daycount.
Regarding, the compounding on the last period, I can replicate Bloomberg's price for that ...
- 5,685
5
votes
Future Value: the functions in Excel, Matlab and Numpy Financial don't work when the number of periods is large
This is not a bug, just how computers work. Would have been better to ask in a non finance forum though. It is called (Integer) Overflow. If you are into reading humorous chats, you can have a look ...
- 8,143
4
votes
Calculating fund alpha using Fama-French 3 factor model?
In the long run, you'd probably be better off learning a real programming language like Python, R, or MATLAB. While you can do this in Excel using mmult, ...
- 6,924
4
votes
Future Value: the functions in Excel, Matlab and Numpy Financial don't work when the number of periods is large
The computer programs are evaluating the following expression:
$FV(i,N,PMT,PV)=-PMT[\frac{(1+i)^N-1}{i}]-PV(1+i)^N$
the test case you are running is the special case where you choose $PMT=-i\cdot PV$
...
- 10.9k
3
votes
Could someone teach me how to construct the portfolios by compute (like using R, Excel or Eviews)
I've posted on my website R code that replicates the Fama-French factors (plus momentum) from scratch. It assumes you have access to WRDS but if you have your own data, you can begin using the code ...
- 111
3
votes
Accepted
Excel Add-In Volatility Interpolation I am trying to Understand
They are lineary interpolating in total variance. I find the exact same answer as your add-in function returns.
In other words the interpolation is made wrt time and between $z_1 = T_1 \times v_1 \...
- 1,356
3
votes
Pulling portfolio from bloomberg
Not sure if this response is useful for OP after 2 years. But in case anyone is searching for solution:
...
- 31
3
votes
QuantLibXL swap valuation fixing dates
Going backwards 2 days with qlCalendarAdvance(..., "-2D", ...) works in this particular case. To be more robust, and to take into account the number of fixing days ...
- 6,963
3
votes
Holdings based style analysis
I'm not exactly sure what you're asking, but since you tagged the question as factor-models, I'll assume you are modeling the next month's returns of stocks as a function of the factors:
$$r_i = \...
- 274
3
votes
Accepted
Excel XIRR function producing unexpected IRR
You can calculate the monthly IRR then annualise. Both IRR and XIRR = 39.1% pa.
Confirming the XIRR, as you calculated in Excel. XIRR = 39.098% pa.
You can also calculate the IRR in one step. IRR =...
- 581
3
votes
Accepted
How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?
This is a question the Helpdesk should be more than capable to answer. For Fixed Income generally you need to specify the source since volume data is often not available (exceptions: MIFID 2, TRACE or ...
- 1,841
3
votes
How can I get real-time CDOR rate, swaps, and options pricing data refreshed on a daily basis in Excel?
Bloomberg WAPI (same API for all supported languages, including excel vba) refreshes as soon as you send the request. No need to do some awkward refresh of standard ...
- 8,143
3
votes
Accepted
FX Option Price Quotation
You are definitely correct in this example. There is one caveat though. I think that is an error in the book and despite it being defined as a continuous rate, they actually use it like it would not ...
- 8,143
3
votes
Future Value: the functions in Excel, Matlab and Numpy Financial don't work when the number of periods is large
As @noob2 posted, al these libraries do is to apply this formula:
$FV(i,N,PMT,PV)=-PMT[\frac{(1+i)^N-1}{i}]-PV(1+i)^N$
However, the same formula can be rewritten as:
$-PMT \frac{c}{i} + \frac{PMT}{i} -...
3
votes
Accepted
Is sorting stocks into portfolio mandatory in Fama-French model?
When you only have three stocks in your data set, trying to form portfolios will not be helpful. Run the analysis on the individual stocks' data as is.
Using portfolios instead of individual assets in ...
- 2,638
2
votes
Daily principal payments, accumulated on yearly basis in excel
Don't be afraid to use one row in your spreadsheet for each day. Enter the date in column A, then increment the date by 1 day for each row until you reach the end of 10 years. In column B enter the ...
- 83
2
votes
Why is it cheaper to repay monthly loan at the start of the month
If you make your repayment at the beginning of the month you do not have to pay accrued interest of the amount for the month.
So, paying already 961.83$ at the first of each month makes a subtle ...
- 1,456
2
votes
Accepted
Implementation of the Chow test in Excel/R
You can do a Chow test with the strucchange package in R. You can find the full documentation here.
The package comes with a vignette which shows how to use it (see p. 9ff. if
you want to dive into ...
- 27.3k
2
votes
Bond characteristics using Bloomberg in Excel
You need to specify that the code is an ISIN:
=BDP("DE0001848083 ISIN", "COUNTRY")
should work as expected.
- 940
2
votes
Modeling stock performance in excel
The problem is you are trying to model it with a normal distribution. Prices are data. Returns are not data. Returns are mathematical transformations of raw data. It is mathematically impossible ...
- 4,359
2
votes
Price at Specific Time from Bloomberg
BDP() is for current data, to get past data at a specific time or range of times you use BDH() (where H refers to Historical Data)
Try for example
...
- 10.9k
2
votes
Excel YIELD function equivalent in python Quantlib
You're getting downvoted for asking a bad question. I'll explain why the question is bad.
Your link to the Excel documentation has the full specification of what YIELD does.
If there is one ...
- 151
2
votes
Accepted
Bloomberg formula for bond total return
There is no field for bonds like you have for stocks to get daily returns in a time series format. However you can try using CUST_TRR_RETURN_HOLDING_PER. This gives you total return over a specific ...
- 1,841
2
votes
(Bloomberg) BDP Formula question
Just concatenate the string (and replace the _ with spaces to form a valid ticker):
...
- 940
2
votes
Finding Lead-Lag Relationship
Recently there's been a lot of academic work involving wavelets to detect lead-lag relationship. I'm afraid it is still not nearly as common as the ubiquitous Granger Causality mentioned above.
Also, ...
- 21
2
votes
Single-step Monte Carlo in Excel
The code below is part of a VBA project I did to calculate VaR with Monte Carlo returns. If you eliminate the -1 at the end all values are positive. You just need ...
- 304
Only top scored, non community-wiki answers of a minimum length are eligible