All Questions
22,581
questions
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36
views
Market making - widening orders based on volatility, constant bps or multiply spread by factor?
let's say we are placing 5 orders on the book, top is tight, bottom is wide.
When widening based on vol, do I add the same N bps to all orders or multiply the spread by X factor instead?
Adding N bps ...
- 101
0
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0
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23
views
Duan GARCH Option Pricing Model using Edgeworth Expansion Python Implementation [closed]
I have tried to reproduce the analytical approximation with an Edgeworth expansion by Duan (1999) for the GARCH Option Pricing Model. I tried to reproduce the MATLAB code he uses in Python. ...
- 1
1
vote
1
answer
84
views
Roll-adjustment definition for swaps schedule generation
To my understanding, when generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted ...
0
votes
0
answers
53
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Questions on Options Pricing/Trading on a volatility desk at IB [closed]
I have basic/functional knowledge of options, but some of this high level stuff I have no clue and would appreciate some insight. I don't know if some of these terms of "proprietary" but I'...
0
votes
2
answers
80
views
Book on Inflation models
I am wondering if there is a book (such as the Andersen Pieterbarg for rates) covering Inflation instead.
I need to study Inflation instruments, models, model calibration and instrument pricing.
I am ...
- 235
1
vote
0
answers
32
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Interpretation of the TTC and PIT probability of default in the Vasicek model
The well known 2-factor Gaussian model assumes that the default behaviour of a client is ruled by a latent variable defined as:
\begin{align}
y=\sqrt{\rho}Z+\sqrt{1-\rho}\xi
\end{align}
where $Z$ and $...
- 111
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votes
0
answers
29
views
Calculate the impact of climate change on the Italian FTSEMIB [closed]
I am working on a paper and I would like to observe the impact of climate change using the Climate Policy Uncertainty Index (CPU) by Konstantinos Gavriilidis on the FTSEMIB. How can I do this?
P.S. ...
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1
vote
0
answers
45
views
Is it appropriate to use Term-SOFR curve as spot rate curve in bond pricing for simplicity?
everyone, I am coding for a task of some derivatives pricing, and I am a newbie to the quant. Since the term SOFR data is already available in my company's database, I am wondering if it's appropriate ...
1
vote
0
answers
20
views
Issues running Fama French regression for annual portfolios
As part of my master thesis I am planning to do some analysis based on the 3-Factor Fama french model. I am not a quantitative finance person at all, so my question might be extremely basic and I ...
- 11
0
votes
1
answer
51
views
Forward rate from Covered Interest Parity when spot date is after expiry date
I am using Covered Interest Parity to impute a forward rate. The Webpage https://osf.io/ez6an describes how to calculate the forward rate from discount factors and spot rate. Normally, the spot date ...
- 125
0
votes
0
answers
28
views
Bloomberg zero rate bootstrapping method
On the Bloomberg Terminal, only the value of the first interest rate point on the zero rate yield curve is consistent with market data. How are the values of the other interest rate points derived? Is ...
0
votes
0
answers
30
views
Bootstrapping a yield curve based on instruments with different spot lags
Recently I've had to pay closer attention to the minutiae of interest market conventions regarding fixing and settlement dates, and there's something I'm really struggling to get. If I understand it ...
0
votes
1
answer
64
views
Why is ColVA a negative XVA adjustment?
The expression for ColVA is usually written as something similar to this:
$ColVA= -\int_{t}^{T} D(t,u) E_{t}\Big[ s_{X}(u)X(u)\Big]du$
Where D is the discount, $s_{x}$ the spread at which the ...
- 61
-1
votes
1
answer
68
views
What are the various methods that can be used to acheive a leveraged position of an underlying security? [closed]
Looking for a comprehensive list of the different ways one can leverage a stock position and the pros/cons of the various methods.
Some basic ways I'm familiar with:
1.Borrow at some fixed rate ...
- 101
2
votes
1
answer
63
views
How do I predict future earnings dates if I have a database of all prior earnings dates?
So I have a database of all earnings announcements for all US stocks down to the millisecond for the past 10 years, and I want to make reasonable predictions on when exactly next earnings will be ...
- 23