Hot answers tagged

5 votes

Question about swaption premium quote on the bloomberg terminal

EUSP0101 Curncy DES Style is Straddle (like almost all premium quoted swaptions - and ATM FX options for example, although the latter is quoted in VOL), thus the quoted premium is the sum of payer ...
  • 4,922
4 votes

Is there any source that describes Wall Street quotation conventions for fixed income securities (e.g. corporate bonds)?

To supplement @Dimitri's excellent answer, I recommend a little booklet called "Government Bond Outlines," published by JPMorgan's index team. This is easily obtainable from JPMorgan's ...
  • 10.9k
4 votes

Is there any source that describes Wall Street quotation conventions for fixed income securities (e.g. corporate bonds)?

There is no authoritative source. If you're dealing with vast quantities of diverse bond quotes, then it's very hard to interpet them correctly all the time, although you might get be right most of ...
4 votes
Accepted

Yield of a Bond

Almost always, the market convention is to use for yield the same frequency as the coupon payment frequency. However in a few markets, the market convention is to convert this yield to the frequency ...
4 votes

Interpolation of FX Vol Surface from non-uniform strike vs tenor grid

In the end I found that fitting a SABR smile to each tenor (borrowing a result from this answer) was sufficient to build a local vol surface that was smooth and well-behaved enough to build a variance ...
  • 2,856
4 votes
Accepted

Clean vs dirty price for bonds

The premise of your question is wrong. European bond markets usually quote clean prices (without the accrued) for performing bonds - exactly like U.S., Canadian, and most Latin American bond markets. ...
3 votes
Accepted

Futures vs. spot forecasting

The relationship between S and F is known as "the basis". You can theorize a relationship of the form $$F=S \exp(c(T-t))$$ or the simpler, approximate $F = S + C (T-t)$. Knowing $F,S$ and $T-t$ (...
  • 9,647
3 votes
Accepted

Interpolation of FX Vol Surface from non-uniform strike vs tenor grid

I tried something along these lines in Quantlib python a few weeks ago. Slightly more simple compared to your approach I think: start with a standard delta quote convention for FX vols (10D puts, 25D ...
  • 521
3 votes

Free access to official real-time and intraday data for exchanges

+1 for "feeling like the data is out there to be parsed for free". lol If data is just for toys, do: http://www.dxfeed.com/historical-tick-data/ They offer (free) tick data for May 6 2010 (flash ...
  • 208
3 votes
Accepted

Logarithmic price defined as the midpoint of the log bid and ask : Simple Clarification

I reckon it's the $\frac{log(ASK)+log(BID)}{2}$, just simple arithmetic average as it makes sense, also considering logarithmic returns, when you can only take a differences from log prices. Also, ...
  • 720
2 votes

Which spread to use to analyse CDS data from Markit

The par spread is retained just for compatibility with legacy quoting conventions - pre April 2009 ISDA Big Bang. In my opinion, it's best ignored. Some people may disagree. it's close to the market ...
1 vote

Corporate bond quote convention

Your confusion is certainly coming from a distinction between Price and Yield. 1 - You're definitely right in regards to Bond Price as 99 1/8 = 99.125. Likewise <...
  • 315
1 vote

What are the technical events that fluctuate quoted asset (e.g. forex) prices? How does it relate to the purchase of currency contracts?

Supply and demand... If you want an event that produce a change in the value of a currency, just look at the ruble. As Russia, gets more and more isolated and inflation spins out of control the ruble ...
1 vote

Downloading most recent stock prices

R is very useful for downloading data from Yahoo/Google . Here is an example for downloading from Google Finance : ...
1 vote
Accepted

Option quotes or trades: Which one is more informative?

I will try to be as concise as possible. For obvious reasons, if you do not have any trades, choose the quotes, because they reflect the intention of a player to trade at that level of price/...
  • 346
1 vote

Option quotes or trades: Which one is more informative?

It's a little dependent on whether its listed or otc options but your question about implied volatilities probably addresses the issue the best. I would calculate the implied volatility from the real ...
1 vote
Accepted

CDS Quote Conversion - Quoted vs Par

The reason the spreads were off is that the data came from MARKIT, and MARKIT often includes a 3M spread (but does not always publish it). So the 3M Quoted Spread and 3M Par Spread are exactly the ...
  • 1,142
1 vote
Accepted

Linear interpolation Discount factors

I don't recommend linear interpolation of DFs and the swap rates you are applying this to are either against 12M libor which is illiquid or you are not accounting for Quarterly or Semi-Annual floating ...
  • 8,099
1 vote

Comparing values of indicator between different stocks

Technical analysis is not quite in my wheelhouse, but it's been an interesting topic to me, so hopefully I can lend a hand. Let's start with some basic assumptions: Because OBV is based on volume, ...
1 vote

1 minute data: Japan, Australia and India stocks

You can use Thomson Reuters Tick History to get intraday data at 1 minute interval. However, you need to pay for that. Many university provide access to this database.
1 vote

How are OHLC bars made from bid, ask, and last trade prices?

I made the next C++ conversion function. ...
1 vote

How are OHLC bars made from bid, ask, and last trade prices?

Pick a time range of traded prices, open is the first value in the range, high is the max of the range, low is the min and close is last value in the range.
1 vote
Accepted

How are OHLC bars made from bid, ask, and last trade prices?

Bars represent an summarized view of what happened during a given period of time of a single given value. Therefore, you need to first pick the value you want to summarize: Bid, Ask or Last Trade and ...
  • 10.9k

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