All Questions
22,629
questions
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Evaluate the flexi deposits early redemption risk using swaption pricing method
When I use swaption pricing method to evaluate the flexi-deposits early redemption customer behavioural option, I should calculate the spread as a input to the quantlib swaption object. Should I take ...
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votes
1
answer
10
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Use QuantLib to adjust bond cash flows after the next strike date once the bond issuer choose not to redeem the principal
To handle the scenario where the bond issuer chooses not to redeem the principal and the coupon changes based on a base rate(let's say the US t-bills forward rate at the next strike date, plus a ...
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2
answers
51
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Different risk neutral measure
I don't understand in the following example how there can be a single risk neutral measure.
The risk free asset price $B$ at time $t = 1$ is $1+R$.
An other asset $S$ at time $t=1$ can take two values:...
- 41
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47
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FX Option and Greeks Value in Dollars
I'm trying to replicate the Example given in pag. 229-230 of Dynamic Hedging by N. Taleb and I am not sure on how to convert the Greeks in Dollars and how the author is computing the Greeks.
Start ...
- 207
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9
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NASDAQ ITCH Order Executed With Price Message
I'm building a basic feed handler with the NASDAQ ITCH sample data and I'm a little confused on Order Execution With Price.
From the decoded sample data I've pulled out message type C (section 1.4.2) ...
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-1
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1
answer
44
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How do you calculate the YTM of a multi-currency portfolio?
I would like to know how to calculate the aggregate YTM of a portfolio with bonds of different currencies
- 11
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answers
24
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Extension of time homogeneous short rate model in Brigo Mercurio
Question
I am going through section 3.8 "A General Deterministic Drift Extension" in Brigo Mercurio, and in particular section 3.8.4 "The Vasicek Case". I want to derive the ...
- 294
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27
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TAKE AND ROLL calculate return
You are given a fair
20−sided die and 100 actions in a game. The die starts with upface 1. The two options you can perform are to roll and to take. Performing a roll re-rolls the current upface of the ...
3
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37
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Understanding intuition behind in-elicitability "problem" of expected shortfall
Keeping related questions in mind (ES not elicitable), I am trying to understand the intuition behind the "problem" driven by the expected shortfall (ES) not being elicitable with four short ...
- 31
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18
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10D quotes for FX volatility smile calibration
When calibrating fx smile using SABR and Vanna Volga,
Are 10D-RR and 10D-BF used?
Or 25D and ATM quotes are used only?
If 10D is used, which currency pairs use 10D quotes?
If I use 10D quote for ...
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answers
33
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Seeking Best Methods to Identify and Analyze Sharp Trends in Stocks and Currencies Using Python
I have basic proficiency in Python development and I'm interested in analyzing the relationship between certain parameters and sharp changes in stock and currency trends. What are the best methods for ...
- 1
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1
answer
57
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Allocation of time to maturity day difference into standard tenor buckets in python
I was wondering if there is a quick way, e.g. via quantlib or any other python package/module, to allocate or to correspond time to maturity day differences to standard tenor buckets. In other words, ...
- 133
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votes
0
answers
83
views
HFT using Pure C [closed]
Coding for HFT (statistical arbitrage engine) without getting involved in C++.
Pure C, 8086 Assembly, Python, CUDA. Does it make sense? What is feasible?
Will I be restricted when using FPGA or ...
- 1
0
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0
answers
50
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Tick bid greater than tick ask (negative spread)?
I am parsing tick data using a Perl script and have come across instances where the BID is greater than the ASK for a given tick.
Should I assume this is an error in the tick data (as published) and ...
- 125
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36
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Factor model bond futures
I was reading the Lehman Brother Multifactor Futures Model and there are a few things I don't understand in the way they implement their model.
Firstly, they look at the fitted yields. When they look ...
