Actually just re read your notes, u mentioned that if you  don’t want to “fix” the smoothing effect, you just do the same as for daily returns to convert it to annual measure. - So we want to work off the new smoothed series i.e. calculate the vol of the smoothed series, thats the whole point as the...

thanks - to be clear if my returns in Column S is a rolling average 5 day daily return - then to calculate my Sharpe using this 5 Day Daily MA - I take the Average of all of these returns x 252 (to annaulise returns) and to annualise the vol I take the STDEV.S (Col S) * SQRT (252) * SQRT (5) - Is t...

Yeah I think we are going to forget about the autocorrelation bit which I know is a big assumption under moving average. So just trying to get my simple mind around annualising using SQRT 252 X SQRT 5 in the moving average case. Any chance you can run this past me one more time please? I appreciate ...

[font={defaultattr}][font={defaultattr}] we all know the standard way of annualisation of volatility for a series of returns is to multiply by SQRT (252). What if I have a sequence of overlapping 5 day PL returns used as a series of returns and in addition another sequence of overlapping 5 day Movi...

I have a question on EUROZONE Bonds and in particular repo accrual and bond accrual. On a Thursday if we are Short EUROZONE bonds (which have a T+2 settlement lag) in a portfolio (and assuming no move in yields), there is an exaggeration in pull 2 par and hence the P&L on a Thursday will be a lo...

Hi All, Has anyone ever come across When - Issued Bonds (those securities which are traded pre-auction and only trade on a yield).  If so, how would they be PRICED, pre-auction? Once the auction is set and the coupon is set, then the pricing becomes straight forward, but how about pre-auction - we o...

Hello All, I really need some help on this one - we have a USDJPY FVA on our portfolio (3y5y), however our PM states that it is being massively undervalued by the 3rd party admins and by the internal system - he states that the arithmetic fwd fwd vol is undervaluing the trade because, in this case, ...

Hi  We have a relative value strategy on the desk and they would like to mark the Bonds to the futures basis but Im not clear what this means - are there any examples which anyone could share?  Futures are marked to exchange and the Bonds to Reuters (Traders arent happy with Reuters pricing) and wan...

HI All

Struggling to find a formula or an approximation on how to value these 

If I have 2 One Month ATM implied vols, say for EURGBP and GBPUSD and I know the Cross Vol and Implied Correlation too between the majors, can I now deduce a price or an approximation price?

Thanks in Advance
J.

Hey just wanted to touch on this again - How could one test if a Bid/Ask spread is "bad" - by "bad" I mean: Either the Bid or Ask is zero a Fat fingered Bid or Ask (which means the spread is huge) The Bid is higher than the Ask IS there a formulaic I could use or is it simply a c...

Thank you Bearish always good to learn from you. Just want to clarify a couple things, how did you calculate the 10-15 % range for the s&p through the put spread. And then you are multiplying this by 50% so as to imply a price of 5% to 7.5%?

Hi i want to price a dual hybrid option where I receive a payout in 1M if S&P < 3900 and 2yr SOFR IS more than 3.5% at expiry. Rather than go into bbg and price this up is there a more intuitive way to price this or think about this or approximate this? Can i decompose into its constituent parts...

Hi All, If Im working at a Global Hedge fund, where our PMs trade all markets (Europe, LATAM, US, Asia) etc..., what are your thoughts on reporting the P&L when there is a holiday in the US or in the UK for example? In other words, should we report P&L/Risk when it is a UK holiday?  For a Un...

Thanks Alan - Ive had a read of this.  Final question I have is given what I need to do (Calculate a sharpe ratio for a given month with 22 observations), Do you see any problems with me (i) Calculating a sharpe but using the Semi variance measure as the denominator of the sharpe as per your paper a...

Thanks v much, Ill have a read of that paper, looks like the link you have shared is a summary, but the semi variance is definitely interesting.