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by blackscholes
March 7th, 2015, 1:35 pm
Forum: Careers Forum
Topic: Help with Job Choice
Replies: 3
Views: 3797

Help with Job Choice

Thanks, i will take your advice. I didnt include bonuses because I dont know what they are.
by blackscholes
March 7th, 2015, 11:24 am
Forum: Careers Forum
Topic: Help with Job Choice
Replies: 3
Views: 3797

Help with Job Choice

<t>I've been working in a markets related role for 2 years at a sell-side bank in NYC. My day to day responsibilities include following the markets closely and providing value added insights, which requires an understanding of how everything is interconnected. However, I was reached out by a recruit...
by blackscholes
August 27th, 2014, 1:24 am
Forum: Student Forum
Topic: OAS Simulation (Interest Rate Paths)
Replies: 0
Views: 3604

OAS Simulation (Interest Rate Paths)

<t>How is simulation of interest rate paths performed using the general term structure of Treasury spot rates (bootstrapped from the par curve)?For example, if the spot rates are 0.5%, 2.1%, 3.0%, 4.0%, 5.5%, 6.7% for 1yr, 2yr, 3yr, 5yr, etc..., how are these rates used to simulate the various paths...
by blackscholes
August 26th, 2014, 6:38 pm
Forum: Student Forum
Topic: Confused Between Spot Curve vs Par Curve and Duration
Replies: 10
Views: 5898

Confused Between Spot Curve vs Par Curve and Duration

<t>Great, so if you add a constant OAS to the Treasury spot curve and discount all cash flows of let's say IBM, it should give you the market price of the bond. And the OAS is calculated by trial and errror by simulating interest rate paths and then figuring out the spread that would equate the disc...
by blackscholes
August 26th, 2014, 4:04 pm
Forum: Student Forum
Topic: Confused Between Spot Curve vs Par Curve and Duration
Replies: 10
Views: 5898

Confused Between Spot Curve vs Par Curve and Duration

<t>Now a follow up question. If I have a theoretical spot price after obtaining the Treasury zero rate coupons to discount the cash flows, the price should equal the market price right? Otherwise, there's arbitrage? For example, if i have an IBM bond, the theoretical spot price should equal to what ...
by blackscholes
August 26th, 2014, 3:35 pm
Forum: Student Forum
Topic: Confused Between Spot Curve vs Par Curve and Duration
Replies: 10
Views: 5898

Confused Between Spot Curve vs Par Curve and Duration

Ahhh thanks, that was the disconnect in my understanding.
by blackscholes
August 26th, 2014, 11:44 am
Forum: Student Forum
Topic: Confused Between Spot Curve vs Par Curve and Duration
Replies: 10
Views: 5898

Confused Between Spot Curve vs Par Curve and Duration

Thanks, most people refer to the actual live Treasury curve as the par curve. If the definition that a par curve is that the yields would discount all cash flows to par, however Treasuries are not quoted by par???
by blackscholes
August 26th, 2014, 10:26 am
Forum: Student Forum
Topic: Confused Between Spot Curve vs Par Curve and Duration
Replies: 10
Views: 5898

Confused Between Spot Curve vs Par Curve and Duration

<t>I understand that a corporate bond can be priced by discounting its cash flows by Yield to Maturity to equate its market price.However, one of the reasons why YTM is not a good measure is that it assume coupons are re-invested and the bond is held to maturity.Therefore the cash flows can be disco...
by blackscholes
August 20th, 2014, 11:30 am
Forum: Student Forum
Topic: Stock Algorithm to Search History
Replies: 1
Views: 3724

Stock Algorithm to Search History

<t>I am working on an academic project to evaluate a stock in the context of history. I am capturing various valuation metrics for a stock 1) P/E 2) Stock price 3) Market cap 4) Leverage etc... and normalizing all the data points between the min and max, respectively.Then I want to use the informati...
by blackscholes
July 2nd, 2014, 1:15 pm
Forum: Student Forum
Topic: Credit Spread and Excess Returns (Matched to Maturity or Duration)
Replies: 2
Views: 4188

Credit Spread and Excess Returns (Matched to Maturity or Duration)

<t>If I have an index of bonds with an average maturity of 10 years and I want to calculate the credit spread and excess returns against some comparable benchmark, should I use the 10 year Treasury yield or a portfolio of basket duration matched Treasuries?Some literature take the yield and subtract...
by blackscholes
May 27th, 2014, 11:38 pm
Forum: Careers Forum
Topic: High attrition in finance normal?
Replies: 8
Views: 6397

High attrition in finance normal?

<t>Is this normal? I started in March and I've seen so many people leave after being with the firm from anywhere between 1-4 years. I guess I'm not used to it since I came from an industry where people averaged 10 years before moving on.If an entire group leaves due to attrition, do they just simply...
by blackscholes
May 24th, 2014, 11:31 am
Forum: Student Forum
Topic: PCA General Question
Replies: 2
Views: 4732

PCA General Question

<t>I understand that PCA on a time series of yield curve produces three factors that explain the variation of the curve.Factor 1 refers to the level (or the parallel shift), Factor 2 refers to the slope and Factor 3 refers to the curvature.However, how do we know that each of those factors correspon...
by blackscholes
May 14th, 2014, 12:28 pm
Forum: Technical Forum
Topic: Inherited Excel 2003 Spreadsheet With Rows Reaching Limit
Replies: 9
Views: 6061

Inherited Excel 2003 Spreadsheet With Rows Reaching Limit

Database would require a big overhaul unfortunately. =(
by blackscholes
May 14th, 2014, 12:15 pm
Forum: Technical Forum
Topic: Inherited Excel 2003 Spreadsheet With Rows Reaching Limit
Replies: 9
Views: 6061

Inherited Excel 2003 Spreadsheet With Rows Reaching Limit

<t>I inherited an Excel spreadsheet with a large number of rows which grows monthly. I expect it to reach the 66536 limit by early 2015.The problem is that we have pivot tables from other sheets that all references this sheet.Does anyone have any suggestions or recommendations? I know it's a mess bu...
by blackscholes
April 25th, 2014, 8:00 pm
Forum: Technical Forum
Topic: Duration vs Spread
Replies: 2
Views: 6461

Duration vs Spread

<t>Does anyone have an approach on quantify the effects of duration on spread (OAS)?For example, if a portfolio has an effective duration of 4 with an OAS of +50bp and the effective duration increases to let's say 6 with an OAS of +100bp, how do I isolate the contribution of effective's duration to ...