I am trying to figure out how the value of my strip of interest rate floorlets might change over the next few years.  I already have a crude Excel based Monte Carlo simulator that will generate lots of yield curves as it moves through time.  I have used it for projecting the market value of a vanill...

I am trying to replicate the pricing I get when I build a swap in SWPM in Bloomberg.  The PV of my EUR leg is way off what Bloomberg is showing and it looks like the reason for that is my discount factors are incorrect.  I checked the box to enable OIS DC Stripping so I think there must be something...

I have a single portfolio of assets but I am defining its potential volatility in two different ways (V1 and V2).  I am plotting the two different volatilities in the XY plane and then the expected return in the Z dimension.  So, this is how I am defining my risk and return: V1=[A x B1] x C x t[A x ...

Yes, that was exactly what I was looking for.  thank you!

Hmmmmmmm...I must be doing something wrong.  I multiplied my vector of weights by the first column in my covariance matrix and then divided that product by the portfolio variance.  Then, I repeated that for each position in the portfolio.  The risk contributions I am seeing are tiny and do not sum t...

Thanks again Alan.  If I understand correctly, the denominator is just the variance of the portfolio.  The numerator is the sum of each asset's weight times its covariance with the asset in question.

I have a portfolio of assets (positive and negative weights) and a corresponding covariance matrix.  I know I can estimate the VaR at the 95 percentile by doing -1.645*sqrt(wNw) but now I am interested in estimating each assets contribution to the risk.  Using historical data in excel, I would use t...

Thanks Alan! I will try to port that to R.

20 minutes?!?!  My code must be really inefficient because it takes me longer than .01 sec to draw an efficient frontier.  I have a routine that finds 50k points to optimize cost for a given level of risk and expected return that takes a few of hours to run.  I am using R.

I have been using Markowtiz efficient frontiers for a while to optimize portfolios (maximize expected value for least volatility in terms of standard deviation). Most of the time, that involves picking as many stocks as I want from a subset of stocks. Recently, I have been asked to optimize the same...