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Dokumentumok száma: 20,364
The document asks how European call options are valued in a Bachelier market, where the stock follows Brownian motion with constant absolute volatility. It considers the terminal payoff and conditional expected payoff before maturity, then uses the…
The document concerns constructing a business-day calendar for historical NYSE price analysis. The researcher wants to omit weekends, exchange holidays, and exceptional closures so that observations align with days when trading occurred. A sample calendar…
The discussion compares two ways to think about stock price movements: equal dollar changes across stocks or changes proportional to each stock’s price. It explains the standard modeling convention through volatility, which is expressed as a percentage.…
The discussion asks how to evaluate a stock price forecasting algorithm separately from the trading rules that convert forecasts into trades. One response suggests repeatedly backtesting over shifted date intervals and averaging measures such as net profit…
This explanation describes how to infer market expectations for central bank rate changes in Europe using overnight index swap meeting contracts. Each contract spans the effective dates associated with two successive policy meetings. Its fixed rate can be…
This QuantLib example compares the net present value of a fixed-rate bond with a separately calculated discounted cash-flow sum. The two calculations disagree because the zero curve starts several months before the stated valuation date. The accepted answer…
This question explores an asset allocation strategy for four equity indices using excess-return forecasts from separate ARMA(1,0)-GARCH(1,1) models. The researcher wants portfolio weights to reflect expected returns and second-, third-, and fourth-order…
This QuantLib example explains a negative-time error encountered while valuing an interest rate swap. The accepted answer points to a likely mismatch between the curve reference date and cash-flow dates: requesting a discount factor for a date before the…
The document gives a high-level overview of how a bank may value, structure, and manage risk in an autocallable equity product. Pricing typically uses a model calibrated to market option data, with Monte Carlo simulation to estimate the product’s value…
The document explains how employee stock options can increase diluted earnings per share through the treasury stock method. Option holders pay the exercise price to the company and receive shares. The company is assumed to use the exercise proceeds to…
The document distinguishes smile butterfly quotes from market butterflies, also called broker flies, in foreign exchange volatility markets. It explains that at-the-money volatility, risk reversals, and butterfly quotes together describe key features of the…
The document explains how volatility can be used to model a future stock price distribution. It distinguishes the normal distribution of the log price from the resulting lognormal distribution of the price itself. Under a simplified assumption of no…
The document considers whether daily or weekly observations are adequate for testing a strategy over a six-month lookback. It argues that weekly data would yield too few observations for meaningful estimation and suggests intraday data as one way to increase…
The document responds to a request for advanced reading on global macro investing, where views on economic conditions are expressed across asset classes such as currencies, rates, commodities, real estate, and equities. It offers a varied list of…
The document offers a very brief introduction to expected utility, using three possible events and assigning each a utility value to represent how desirable its outcome is. Winning a lottery is presented as an example of a high-utility outcome, while an…
The document distinguishes volatility quotes by both pricing framework and volatility convention. OIS volatility refers to pricing in a multiple-curve setting, while LIBOR volatility is associated with the older approach in which discounting and forwarding…
The document derives the covariance between returns on two portfolios from the asset-level covariance matrix. Each portfolio return is a weighted sum of individual asset returns. Applying covariance’s linearity in each argument expands portfolio covariance…
Treasury bond futures are linked to a basket of eligible bonds rather than one fixed security. The short can choose which bond to deliver, and the cheapest-to-deliver bond is identified by comparing each bond’s market price with its conversion factor. The…
The discussion considers ways to search historical stock charts for user-defined or familiar patterns. Suggested approaches include time-series matching, dynamic time warping, classical technical pattern recognition, and unsupervised discovery through…
The document compares storage approaches for large options and time-series tick datasets used primarily in backtesting. When the dominant access pattern is reading sequentially between a start and end time, flat files with binary encoding can avoid the…
This troubleshooting example addresses a failed QuantLib bootstrap built from Treasury yields. The error occurs at the one-year instrument because the curve solver cannot bracket a root. The key issue is a mismatch between the quote expected by the…
The discussion explains why market prices and economic data can imply different views of the future. A risk-neutral measure is used to value and hedge traded claims in a pricing model; a physical measure represents real-world probabilities used for…
The document raises concerns about using unfiltered historical Value at Risk as a desk-level measure for comparing strategies and allocating risk capital. It contrasts this with a preferred use of a common holding period and confidence level, robust…
The document works through the cash-account holdings needed to keep a portfolio self-financing under two choices for the risky-asset holding: the time integral of the asset price, and the asset price itself. It starts from portfolio value as cash holdings…