Finance Source:

Classic dynamic delta-gamma hedging in Python

I am trying to run a delta-gamma hedge for a Black-Scholes model in Python.The Euler disceretizatioin of the paths is the simplest possible. I wrote the code below but the PnL looks undesirable and wrong. #install pandas import math import numpy as np import scipy as sp import numpy.random as npr import scipy.stats as scs import... go to Article >

Did Trump Just Put The September Market "Crash Down" In Play

25 Days ago Politics Source:

Until just about 11am this, the market was poised on a knife's edge, trading right on top of the dealer gamma breakeven level. That ended with a bang when Trump unveiled that the US will retaliate to China's Friday tariff increase "this... read more

From quoted spread and coupon to upfront, and vice versa : which recovery rates and when?

654 Days ago Finance Source:

Echoing the following question : Markit recovery rates : assumed vs real I would like to have a confirmation on my understanding on the matter. Markit provides data for CDS, namely, for tenors blonging to (6M, 1Y,...,10Y, 15Y, 20Y and 30Y)... read more

When to remove a trading strategy?

0 Days ago Finance Source:

Every strategy has a limited lifespan. How do you decide when to stop a particular strategy as it has lost its edge? Few of things that can be thought is strategy crossing its maximum drawdown, net absolute loss read more

Manually calculating and backtesting VaR and CVaR from DCC-GARCH R

0 Days ago Finance Source:

I estimated a GARCH fit to the log returns of three series (CAC 40, a french real estate index and french T10 bond yield series) using rugarch. I then manually calculated and backtested the VaR and CVaR measures. I also fitted a DCC-GARCH(1,1) to... read more

Auction Recovery vs Fixed Recovery

0 Days ago Finance Source:

What is the Difference between Auction Recovery CDS and Fixed Recovery CDS? read more

Alternative relative performance measure to Sharpe ratio for non-IID return

0 Days ago Finance Source:

The Sharpe ratio is often used to compare relative performance of portfolios despite its IID-assumption for the returns being violated. I can find ample warnings of the consequences of breaching its assumptions. What I am having difficulty to... read more

OIS and Basis Swaps in Quantlib/Python

0 Days ago Finance Source:

I am aware that I can create a IRS in Quantlib/Python by using the following function: def makeSwap(start, maturity, nominal, fixedRate, index, typ=ql.VanillaSwap.Payer): end = ql.TARGET().advance(start, maturity) fixedLegTenor =... read more

Understanding Front-End Spreads (terminology, lingo, convention)

0 Days ago Finance Source:

Would appreciate a clear explanation as to what the OIS/Tsy spread and the TU OIS spread is. I've seen it being talked about in Wall St research reports but can't seem to find good explanations on Google. Can anyone shed some light on this and... read more

Valuating Prepayment on Loans- Which models are favorable?

1064 Days ago Finance Source:

I have some trouble in choosing the right method/model for the valuation a prepayment option on a loan (in General). So far I had some ideas about valuatiing it via a simple PV-method but there should be better ways. According to my Research... read more

Trading interview gambling question

725 Days ago Finance Source:

You're invited to a one-on-one coin-flip gambling game. Your opponent has 1 million USD on hand (the max you can bet is 1 million USD). The payouts for flipping heads and tails are as follows: Tails: You win 2x your bet. Heads: You lose your... read more

Difference between spread duration & IR duration for a fixed rate bond

0 Days ago Finance Source:

I am struggling to comprehend the difference in impact between spread duration & IR for a fixed rate bond when yields move. I know that both measures would be the same for a fixed rate bond but how exactly do they differ when yields fall? So for... read more