Hi,

Does anyone know what equation this is using? I need to implement in Python and cant figure out what the hell its doing

The Orange box is being calculated from t and spot rates

Thanks

BFP

If you put your stop on and allow approx 20% slippage you wont be too far off your max loss. I personally think they are invaluable provided your stop is wide enough not to get stopped out in the more volatile markets before you see your strategy come good

Thanks...just wanted to make sure i wasnt going crazy

I think i should be making money, but the analysts tell me i would lose money which im confused about

I have a question: If my portfolio is short duration and i do a test on this portfolio by shifting all yield curves up by 1bp, i should make money or lose money?Many thanksBFP

is this question too general? not enough information to answer it?thanks

<t>Hi,I have run the tracking error of a fund against a benchmark and obtain a low annual figure of around 80bps. When however i perform stress tests on the fund and benchmark, they produce very different results, as an example the Lehman period produced negative PnL of 2.3% wheras the Benchmark was...

If we have a 95% confidence VaR number, but do not know the mean or SD, how can i get a 99% VaR number?

P(G)=0.6 P(L)=0.07 P(L|G)=1P(G|L) = P(G).P(L|G)/(P(G).(P(L|G)+P(NG).P(L|NG)P(L|NG) = P(L and NG)/NG = (0.4*0.07)/0.4=0.07=0.6/(0.6+0.4*0.07)=95.54%

Can you use conditional probabilty on this since we are dealing with 2 different portfolios?

There are 2 portoflios A and B. Portfolio A contains 8 stocks and 6 bonds. Portfolio B contains 8 stocks and 4 bonds. What is the the probabilty that having picked a bond it is from portoflio A

What position would have long delta and short gamma?

thanks for the input...when was the treasury and yen crash?

I am looking at adding a few extra stress tests onto some Fixed Income funds. I currently have theseBlack MondayGulf War 1Russian Crisis 98Lehman Crisis 08Can you think of any other tests to be included on a fun thats included G13, ConvertiblesThanks

Is this too difficult to simplify or something?