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by Jericho
August 18th, 2022, 3:48 pm
Forum: General Forum
Topic: Deep ITM and OTM options
Replies: 6
Views: 1384

Re: Deep ITM and OTM options

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...
by Jericho
August 7th, 2022, 6:52 pm
Forum: General Forum
Topic: Dual hybrid option
Replies: 3
Views: 441

Re: Dual hybrid option

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%?
by Jericho
August 7th, 2022, 8:25 am
Forum: General Forum
Topic: Dual hybrid option
Replies: 3
Views: 441

Dual hybrid option

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...
by Jericho
June 21st, 2022, 5:40 pm
Forum: General Forum
Topic: Holiday P&L
Replies: 3
Views: 1586

Holiday P&L

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...
by Jericho
June 5th, 2022, 1:05 pm
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 1497

Re: Adjusted Sharpe Ratio

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...
by Jericho
June 2nd, 2022, 10:25 am
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 1497

Re: Adjusted Sharpe Ratio

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.
by Jericho
June 1st, 2022, 8:01 am
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 1497

Re: Adjusted Sharpe Ratio

Thanks for your answers and suggestions - I was only using n = 6 as an illustration. In reality, what my organisation is doing is every month calculating a sharpe ratio by taking the 22 observations (business days) in any given month, taking the average of those returns and then dividing my the stan...
by Jericho
May 29th, 2022, 7:22 pm
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 1497

Adjusted Sharpe Ratio

Hi Guys  Have a question on Sharpe ratio and specifically Adjusted Sharpe Ratio.  Basically my company is calculating the sharpe ratio for individual traders as follows: Assume 6 days for the current period (for simplicity in this example) where the trader makes the following Dollar PL: 100k, -60k, ...
by Jericho
May 5th, 2022, 8:30 pm
Forum: General Forum
Topic: Bond PnL
Replies: 5
Views: 1248

Re: Bond PnL

Thank you for all your contributions its great to get all your thoughts and experiences on various topics i really appreciate it
by Jericho
May 4th, 2022, 3:57 pm
Forum: General Forum
Topic: Bond PnL
Replies: 5
Views: 1248

Re: Bond PnL

Thanks Bearish - appreciate the comment - just trying to think of the mechanics of how this would work.  If we have a 10M Bond which shows a price of 100 and was traded at 99, if we use T+0 convention (and ignore FX and Carry) then my PL is simply 10M x (100 - 99) / 100 If we introduce the settlemen...
by Jericho
May 3rd, 2022, 8:05 pm
Forum: General Forum
Topic: Bond PnL
Replies: 5
Views: 1248

Bond PnL

Hi All, Wanted to get your thoughts on Bond Pricing - we have a system which calculates PnL upto the next trade settlement day of the Bond (e.g. T+2) and discounts this back to today using a USD Libor Curve - is this standard?  Surely the PnL should be (Price Today - Trade Price) * Notional / 100 + ...
by Jericho
April 3rd, 2022, 10:26 am
Forum: General Forum
Topic: Valuation of Private Investments
Replies: 1
Views: 1136

Valuation of Private Investments

Hi All - was hoping someone might be able to share their thoughts: [*] We have a small number of private investments in companies that are expected to IPO in the not-too-distant future. We currently have 10 of these, and while the number is growing it isn’t growing too quickly. [*]Up through recentl...
by Jericho
April 3rd, 2022, 10:15 am
Forum: General Forum
Topic: Deep ITM and OTM options
Replies: 6
Views: 1384

Re: Deep ITM and OTM options

Thanks Mercadian, I appreciate your time on this (and the other questions) - I think I have enough to get going on this

Regards
by Jericho
March 30th, 2022, 6:15 pm
Forum: General Forum
Topic: Deep ITM and OTM options
Replies: 6
Views: 1384

Re: Deep ITM and OTM options

Hey its listed options mainly on equity/equity indices underliers so Listed options on NKY for example 

thanks for the help i appreciate it
by Jericho
March 30th, 2022, 8:54 am
Forum: General Forum
Topic: Deep ITM and OTM options
Replies: 6
Views: 1384

Deep ITM and OTM options

I have a question on pricing of Deep ITM and Deep OTM options where we know liquidity is likely to be sparse   Generally, our policy (working on the Valuations desk) is to mark to last price if between bid/ask and mid otherwise. This works well generally when the bid/ask markets are being updated wi...
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