Hot answers tagged

11

The indices have different quoting conventions. The way that a CDS index is traded is that you pay a fixed amount per year for protection in case of default (100 bps for IG, 500 bps for HY) and therefore the contract does not have a zero present value (as it would have if you paid the par spread, like in a fixed for floating interest rate swap). The amount ...


6

Interest rate futures enable you to build an interest rate projection curve which you can think of as representing the risk neutral expectation of rates in the future, therefore providing you with a "forecast" of rates in the future. Likewise, stock index futures enable you to build a dividend yield and repo cost projection curve which you can think of as ...


5

The European iTraxx indices trade 3, 5, 7 and 10-year maturities, and a new series is determined on the basis of liquidity every six months. For the total return index : The regular roll process from the off-the-run into the new on-the-run index is simple. At any one point only the most recently available index CDS return is included in any one index. The ...


5

I would put it slightly differently. For Stock index futures , the 2019 contract has the same underlying stocks as the spot index. Therefore the futures price can be simply calculated as spot price increased by interest rates and decreased by dividends. The futures price does not contain any interesting new information about stocks that you cannot see in ...


4

This is very difficult. S&P actually wants you to pay for weightings that currently exist - they started charging for the weightings 8 years ago or so - used to be free. Historical constituents seem like something you will have to pay S&P for - especially with all the quant traders out there who would love such info. Happy to delete this answer if ...


4

The main reason is that with interest rate futures interest rates are entering the pricing formula because they are not hedged while with stock index futures the indices are being hedged (while interest rates also enter the pricing formula here!) So with index futures you price the index in a risk-neutral way while with interest rate futures (and index ...


3

This site has the company name, symbol, and index weight of all 3 indexes you are asking about. The data is not downloadable, however, simply copying and pasting the data from the page into a spreadsheet works as does scraping the page. SlickCharts.com


3

I believe that Basel Accords are not directly imposed on banks. Instead they are global recommendations. But in practice, all national financial regulators (e.g. FCA in UK) adopt Basel guidelines as minimum standards. Regulation does change across borders since national regulators can impose stricter or different rules to Basel. Also areas that are not ...


3

People are all kinda dancing around the straighforward answer, which is that you can trade the underlying for a stock index future but not for an interest rate future. When you can trade the underlying, arbitrageurs will push the future and its underlyer prices as close together as possible. The difference is roughly the cost or gain from the arbitrage ...


3

I suppose you don't have to constrain yourself to that specific data, so you could refer to the Census Bureau if you need more data. Moreover, you can search on Google for ''housing index methodology'' if you want references on how to build professional indexes. Personally, I think it would be great practice to replicate an index for your high-school project ...


2

Matthias, I would create a bespoke index weighted on the percentages you mentioned above. In that way you can be sure of capturing risk at the appropriate levels without overexposing your valuation to only one or if you use a global index, multiple markets with zero importance.


2

If you want to use a more global index for your regression, you should consider these two: MSCI World (Developed Markets) MSCI ACWI (Developed and Emerging Markets) EDIT: You might consider using global indices by other providers, for example, the S&P Global 1200. You can get 10 years of data from the link.


1

What kind of index is it ? It is an index of return in very short term (overnight) EUR money markets. I.e. what European banks can earn by lending money to another European bank. Currently the rate is negative so it is not too attractive an investment :D It is probably similar to (or just another name for) Deutsche Bank EONIA Total Return Index - EUR The ...


1

I created a site to collect some useful macro financial indicators and hopeful can continue adding more data in my spare time. Hopefully it can help you: https://datamatrixweb.com/


1

There's not anything to explain once you realise that people like round numbers.


1

I would have a look at ETFs tracking the FTSE 100. There will still be a small tracking error due the the way ETFs work. At a starting point have a look at this list: FTSE 100 Index ETFs - ETFdb.com


Only top voted, non community-wiki answers of a minimum length are eligible