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Документів: 20,364
The document outlines a workflow for representing swaption volatility data in QuantLibXL and using it to price a swaption. First, construct an at-the-money volatility matrix with the QuantLibXL matrix function. Then extend the matrix into a volatility cube…
The document explains how to interpret a default probability inferred from a credit default swap spread. A quoted CDS spread is observable, while default probability, hazard rate, and recovery are not directly observable. The simple…
The document raises a data-continuity question for a pair-trading model using futures contracts. It says the training series for each contract has been forward-adjusted and asks whether live prices should receive the same adjustment when the model is tested.…
The document asks how to model the relationship between signed trading volume and price changes, using a simplified Kyle-style expression in which price impact is proportional to signed volume. It also asks whether least squares is appropriate for estimating…
The document considers how to compute the differential of a positive power of a geometric Brownian motion. It applies the Itô–Doeblin formula to the process expressed as a function of time and Brownian motion, producing a stochastic differential equation for…
The document distinguishes a curve of rates across lending tenors from a forward curve for a single LIBOR tenor. A three-month LIBOR forward curve describes rates for successive future three-month periods; it is not just today’s three-month fixing. Similar…
The discussion considers a foreign-exchange volatility market maker who is long a EURUSD straddle and short a USDJPY straddle, then must quote a EURJPY straddle. It asks whether the existing positions imply an appropriate trading bias for the cross-currency…
The discussion addresses how to find the fair spread on a single-currency basis swap built with QuantLib’s floating-for-floating swap instrument. The instrument does not expose a direct method for solving the fair spread, so the suggested approach is to…
The discussion explains why a Fama–MacBeth cross-sectional regression can produce a small or negative estimate of the market risk premium when asset returns are regressed on estimated factor betas. Because those betas contain estimation noise, the…
The document frames company book value, or shareholders’ equity, as a quantity investors may try to forecast and asks for a complete classification of the ways it can change during a reporting period. Its tentative list includes net income or loss,…
The document explains how an investor can sell shares they do not own by borrowing them, selling them, then buying shares later to return to the lender. A custodian may locate shares from a long holder and arrange the loan, while passing along fees,…
The document describes the Quote Instability Factor used by IEX’s Crumbling Quote Indicator, which informs the D-Limit order type. It presents the factor as a logistic transformation of a weighted combination of hard-coded variables. Those inputs describe…
The document asks whether White’s Reality Check can compare two Sharpe ratios and presents a simpler alternative. The proposed test estimates each ratio as sample mean return divided by sample standard deviation, rescales each return series by its estimated…
The document asks about software for valuing foreign exchange forward deals from trade details such as currencies, notional, forward and spot rates, and relevant dates. It frames fair value as having sensitivity to both exchange-rate changes and…
The document explains how dependence among loan defaults affects a portfolio’s loss distribution. If portfolio loss is the sum of individual loan losses, its expected value is the sum of their expected values, so changing correlation alone does not change…
The document presents a closed-form expression for an integral whose integrand is an exponential of a scaled inverse standard normal cumulative distribution function, shifted by a constant. The integration variable runs between a lower bound and one, with…
The document discusses why out-of-the-money puts may be priced above calls with strikes equally distant from the underlying price, and why this does not necessarily imply an immediate expected decline. It attributes the skew partly to demand from long…
The document discusses why swap spreads can decline with tenor, especially at the long end, and emphasizes that the drivers vary by market and maturity segment. In developed markets, pension funds and other asset-liability investors may receive long-dated…
The document addresses a mistaken identity for a zero-coupon bond under stochastic interest rates. The bond price at a later time is a conditional expectation of future discounting; it cannot generally be obtained by multiplying its initial price by the…
The document explains that whether portfolio Greeks can be combined depends on what each Greek measures and whether positions share a common risk factor. Sensitivities to a shared factor, such as interest rates across equity positions, can be aggregated to…
The document presents chart options for examining how ten sector returns contribute to a portfolio over time. One approach is to compound each sector’s returns separately, starting each cumulative series at one, and plot the resulting lines against dates.…
Adjusted closing prices account for dividends so historical returns can reflect the shareholder’s total return rather than price movement alone. On the ex-dividend date, the stock price is expected to fall by roughly the dividend amount, all else equal,…
The document surveys possible ways to assess whether sampled data are consistent with a Wiener process, motivated by validating models such as geometric Brownian motion or an Ornstein–Uhlenbeck process. Suggested checks include testing marginal normality,…
Time-and-sales feeds report executed trades, not necessarily the original orders that produced them. Large prints can therefore appear even when an institution worked a larger order in smaller pieces. One common source is a block matched off exchange through…