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Quantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/69438
Link: https://quant.stackexchange.com/questions/69438/how-to-determine-the-fair-value-of-off-the-run-u-s-treasury-securities
FREEWEBJan 11, 2022 · The off-the-run issues then trade at some spreads to these liquid issues. How are the spreads determined? The hand-waving answer is just supply/demand that shifts the spreads around. You as the market maker will look at the aggregated market … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/2205
Link: https://quant.stackexchange.com/questions/2205/how-to-calculate-unsystematic-risk
FREEWEBNov 22, 2015 · Unsystematic risk of a single stock can be calculated as follows: σλ −ρλ,mσλ = σλ(1 − ρλ,m) σ λ − ρ λ, m σ λ = σ λ ( 1 − ρ λ, m) where σλ σ λ is the volatility of the … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/3319
Link: https://quant.stackexchange.com/questions/3319/what-is-the-difference-between-option-adjusted-spread-oas-and-z-spread
FREEWEB$\begingroup$ This is an excellent answer. A bit more detail on OAS – this is typically computed using a term structure model. Assuming the term structure model is … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/31657/
Link: https://quant.stackexchange.com/questions/31657/bond-price-and-its-process
FREEWEBDec 25, 2016 · Solution: dS = μSdt + σSdz d S = μ S d t + σ S d z. where S is the bond price and μ μ and σ σ are expected instantaneous return and instantaneous volatility … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/46783
Link: https://quant.stackexchange.com/questions/46783/how-do-we-calculate-option-payoff-before-expiration
FREEWEBI am trying to simulate a bull spread option and I have used an online tutorial to calculate payoff at expiry but I am having difficulty simulating the payoff before expiration. What I … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/10390
Link: https://quant.stackexchange.com/questions/10390/sharpe-ratio-annualized-monthly-returns-vs-annual-returns-vs-annual-rolling-ret
FREEWEBHere is an example calculation according to the formula by William F. Sharpe, 1994.. The OP's method of annualising the variance (as used below), is also specified by the … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/71318
Link: https://quant.stackexchange.com/questions/71318/atm-interest-rate-swap-dv01-vs-off-market-swap-dv01
FREEWEBJun 21, 2022 · Taking a 5y $ receiver swap with a DV01 of $ 4333.60 on 10MM notional we get a Gamma per 1bp of $ 2.41. If we now shift all curves (3m $ L and SOFR) by -150bp … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/12696
Link: https://quant.stackexchange.com/questions/12696/how-do-derivatives-affect-capital-structures
FREEWEBJun 17, 2014 · Derivatives are off-balance sheet. GAAP requires a company to disclose the fair value of all its financial instruments (both assets and liabilities), whether recognized … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/50959/
Link: https://quant.stackexchange.com/questions/50959/calculating-fx-swap-points-from-various-interest-rate-curves-and-vice-versa
FREEWEBFeb 2, 2020 · I have always been under the impression that you can replicate the FX Swap by transacting an Interest Rate Swap (IRS) in both currencies, which we know is an … ... See DetailsQuantitative Finance Stack Exchangehttps://quant.stackexchange.com/questions/54257/
Link: https://quant.stackexchange.com/questions/54257/what-is-a-lookback-rate-put-option
FREEWEBA lookback put would be using the minimum of S to evaluate the payoff. There are the fixed strike/float strike lookback or average rate/average strike variety for Asian. The place I … ... See DetailsMost Popular Searched
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