New answers tagged finance
2
VanillaSwap models simple swaps, so it doesn't have a lot of bells and whistles. For more control, you can create the two legs separately and use the Swap class. In your case:
fixed_leg = ql.FixedRateLeg(fixedSchedule, fixedLegDayCount, [notional], [fixedRate])
floating_leg = ql.IborLeg([notional], floatSchedule, floatIndex, floatLegDayCount,
...
1
In general, the model validation consists of several steps:
Checking the model design, i.e. model theory, model assumptions, model limitations, etc.;
Checking the model inputs, i.e. market data sources, market data quality, model parameters quality, calibration process, etc.;
Checking the model implementation, i.e. checking if the model is implemented in ...
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This recent paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3891120 (highly recommended in its entirety) has its entire section 5 devoted to XVA model validation.
You may also find these ORE slides insightful https://www.opensourcerisk.org/wp-content/uploads/2018/12/ore_user_meeting_2018_patrick_buechel.pdf
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QuestDB is also another option. Billed as "the fastest open source time series database".
1
Yes.
Size, value, and momentum in international stock returns by Fama French states:
SMB is the equal-weight average of the returns on the three small stock portfolios for the region minus the average of
the returns on the three big stock portfolios.
HML is the difference between the returns on diversified portfolios of high book-to-market (value) stocks ...
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If the link is insufficient, does this work?
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RUBUSD - how many RUB per USD
TRYUSD - how many TRY per USD
RUBTRY - how many RUB per TRY
RUBUSD/TRYUSD = RUBTRY
64.42/4.48 = 14.3795 which is less RUB per TRY compared to the direct RUBTRY quote.
Use your USD to get TRY - gives 4.48M
Use TRY to get RUB - gives 64.4672M
Use RUB to buy USD - gives ~ 1.000.732,692 USD
If you are unsure about the direction, you ...
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