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The document compares ways to assemble a list of Toronto Stock Exchange securities with company and sector information. The responses point to a Yahoo ticker downloader that reportedly returns tickers, names, exchanges, sectors, and categories for many…
The document defines a convex family of semimartingale wealth processes that start at zero, never fall below minus one, allow certain combinations of strategies, and are closed in the Emery topology. It asks for the financial motivation behind the…
The document asks how to select a yield curve for discounting cash flows when pricing bonds, swaps, swaptions, equity options, FX forwards, and FX options. It distinguishes government, swap, overnight-indexed, and reference-rate curves, and asks whether the…
The note derives the expected squared value of a geometric Brownian motion (GBM), starting from its stochastic differential equation. Applying Itô’s lemma to the square of the process shows that the squared process is itself a GBM, with adjusted drift and…
The document clarifies terminology and pricing relationships in the agency mortgage-backed securities market. A TBA contract lets the short party choose a mortgage pool from a set meeting agreed criteria, such as coupon, origination period, and geographic…
The document addresses how option vega relates to gamma and explains a formula attributed to Nassim Taleb’s Dynamic Hedging. Under Black–Scholes, gamma is expressed using the asset price, volatility, time to expiration, and the normal density at d1; vega…
The document explains why a Bloomberg PortfolioDataRequest may fail when used to retrieve an ETF’s holdings. It distinguishes a portfolio identifier shown in PORT from the interface needed to request constituent data, and says the PORT look-through view…
The document asks how to derive average value at risk, also called conditional value at risk, from a piecewise value-at-risk curve for a triangular fuzzy number in a credibilistic setting. It gives separate formulas for VaR below and above the midpoint…
The document derives the conditional variance of a price process that changes through Poisson-timed jumps with independent, lognormally distributed multipliers. It first expresses the price at the horizon as its current value multiplied by all jump factors…
The discussion considers how to estimate the market return input to CAPM when an index has flat or declining historical performance and its average return falls below the risk-free rate. One response says a negative market risk premium is mathematically…
This recreational logic puzzle assigns different cat counts to three speakers. Each tells the truth when addressing someone with fewer cats and lies when addressing someone with more cats. The accepted solution first derives the ordering of their counts from…
The discussion compares accounts of quote data and order handling in the QuantConnect backtesting environment, while also mentioning Quantopian and other tools in the question. One answer says the platform lacked bid and ask data at the time described and…
The document examines an interpolation rule for a Wiener process whose volatility is piecewise constant between known endpoint values. The proposed rule scales the endpoint increment by the square root of a ratio involving accumulated variance terms. The…
The discussion considers how to estimate a smooth price distribution when most observed intraday futures prices occur only once. It suggests starting with a histogram, where the chosen price-bin width changes the visible clusters, and describes kernel…
The discussion addresses how to estimate or manage the time a mean-reversion trade takes to return toward its mean. It notes the Ornstein–Uhlenbeck process as one way to model half-life, but shifts attention to whether a candidate spread has a credible…
The discussion considers how to obtain a nine-month LIBOR fixing when that tenor is unavailable. It emphasizes that interpolation depends on the intended use. In a loan whose contract required a nine-month rate, the parties agreed to create a synthetic…
The document works through pricing a zero-coupon bond under a Vasicek-style short-rate model with zero mean reversion level. It starts from the rate’s stochastic-integral solution, inserts that solution into the discounted payoff, and changes the order of…
The document derives the duration of a single fixed cash flow under annual effective compounding. Starting from the negative sensitivity of present value to the interest rate, differentiation gives a duration equal to the payment time divided by one plus the…
The document describes the role of trading classes in Interactive Brokers contract identification. A trading class adds an identifying layer when a symbol, expiration, and currency may not uniquely distinguish securities, such as when related contracts have…
The document explains why QuantLib-Swig exposes separate names such as PiecewiseLogCubicDiscount, PiecewiseLinearZero, and PiecewiseCubicZero while QuantLib 1.17 C++ does not. In C++, these curve variants are generated from the PiecewiseYieldCurve class…
The document asks why an FX 25-delta butterfly is commonly expressed using the average of 25-delta call and put volatilities adjusted by the at-the-money straddle volatility. It also asks what the 25-delta label means in this construction, placing the focus…
The document addresses whether a positive-weight, minimum-variance portfolio optimization maps each expected-return vector to a distinct set of weights. Its answer is no: distinct return inputs can lead to the same portfolio, so the mapping from expected…
The document explores how to shock selected points on an on-the-run Treasury yield curve, propagate those shocks to other maturities, and reprice an off-the-run bond. The proposed method applies principal component analysis to historical yield changes, then…
The document asks how to build a function that returns implied FX volatility for an arbitrary strike and maturity from quoted market points. The available inputs are 10-delta and 25-delta put and call volatilities, along with zero-delta straddle or…