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Quantitative Finance
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junior_pm
  • Member for 4 years, 3 months
  • Last seen more than 2 years ago
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Top posts
question
2
What does the conversion factor for Treasury bond futures do in relation to the 6% coupon specification for the contract?
Nov 1, 2020
question
1
How does negative performance of a portfolio constituent affect its weight?
Jun 7, 2020
question
1
Why does the coupon effect mean that higher yields do not necessarily mean that a bond is more attractive?
Dec 8, 2020
question
1
How does one calculate carry-roll-down theoretically assuming expectations of short-term rates are realised
Dec 15, 2020
question
1
How does the term premium of the 10y20y Treasury forward rate relate to the 30y rate?
Jan 22, 2021
question
0
How do I calculate FX forward hedge ratio?
Jun 8, 2020
question
0
How does this formula for the price of a bond in terms of forward rates work?
Dec 7, 2020
question
0
Why do bonds with a shorter next call dates have shorter extension risk?
Jul 20, 2022
question
0
In the derivation of the Black-Scholes PDE, using delta hedging, how is this linked to the risk neutral valuation? [closed]
Aug 3, 2022
question
-2
Why is carry divided by DV01 to scale it?
Jul 20, 2022