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by bluewave
August 9th, 2017, 5:28 am
Forum: Trading Forum
Topic: Currency Risk when Buying a Foreign Stock
Replies: 0
Views: 4595

Currency Risk when Buying a Foreign Stock

I am in the US and my base currency is the USD. I want to buy 100K Euro of a stock which is denominated in EUR and listed on a European stock exchange. The way my broker (Interactive Brokers) performs the transaction is that it will automatically create margin loan in EUR for me to buy this stock. (...
by bluewave
August 1st, 2016, 3:40 am
Forum: Numerical Methods Forum
Topic: Formula for Optimal Portfolio of 2 Assets when No Shorting Allowed?
Replies: 2
Views: 2307

Formula for Optimal Portfolio of 2 Assets when No Shorting Allowed?

I am looking for a formula to calculate the weights of two risky assets that produce the optimal portfolio (i.e highest Sharpe ratio). So far I have found the following formula from a website of University of Missouri http://image.prntscr.com/image/190d2f46dbee4b6a8803f23a8e932a53.png However, this ...
by bluewave
July 13th, 2016, 3:20 am
Forum: General Forum
Topic: Size of TUT (Futures Spread) vs STPP/FLAT (ETFs) for 2/10 Yield Curve Trade
Replies: 2
Views: 837

Re: Size of TUT (Futures Spread) vs STPP/FLAT (ETFs) for 2/10 Yield Curve Trade

Firstly, these should help: http://www.cmegroup.com/trading/interest-rates/files/ics-ratios-2016-09.pdf http://www.cmegroup.com/trading/interest-rates/invoice-spread-calculator.html You can thus compute the spread DV01 of each unit of TUT.  I am not sure where you can get this information for the E...
by bluewave
July 11th, 2016, 2:07 am
Forum: General Forum
Topic: Size of TUT (Futures Spread) vs STPP/FLAT (ETFs) for 2/10 Yield Curve Trade
Replies: 2
Views: 837

Size of TUT (Futures Spread) vs STPP/FLAT (ETFs) for 2/10 Yield Curve Trade

I currently trading 2/10 steepener or flattener using two ETFs: STPP and FLAT. These ETFs are very illiquid, and I am thinking about switching to futures for the curve trades. My broker, Interactive Brokers, offers a ticker TUT to trade the 2/10 curve with a face value of $300,000 per contract. Now ...
by bluewave
June 30th, 2016, 7:54 pm
Forum: General Forum
Topic: What Bloomberg Tickers Can I Use To Make This Chart?
Replies: 3
Views: 1231

What Bloomberg Tickers Can I Use To Make This Chart?

<t>The [HELP] desk simply gave me a search function and let me look for it myself.I tried but couldn't find it, so I was thinking people here may know.The reason why I didn't just create the chart on Fred was because I had a few more charts already created on the Bloomberg monitor page, and I would ...
by bluewave
June 30th, 2016, 4:52 am
Forum: General Forum
Topic: What Bloomberg Tickers Can I Use To Make This Chart?
Replies: 3
Views: 1231

What Bloomberg Tickers Can I Use To Make This Chart?

<t>I found this chart on twitter, which is based on data in Fred.I would like to see if there are tickers that I can use on the Bloomberg Terminal to replicate this chart.I tried to search by the keywords such as "household and nonprofit + mutual fund + asset" on Bloomberg but couldn't find the thre...
by bluewave
July 10th, 2014, 4:12 pm
Forum: General Forum
Topic: Approximate Roll Down and Carry for a 2/10 Flattener
Replies: 3
Views: 4950

Approximate Roll Down and Carry for a 2/10 Flattener

<t>I think I have access to the 1 mo Libor rate. So with Libor, 2 yr yield, and 10 yr yield, what would be the simplest approximate formula for 12 month roll down + carry? Being random is all right as long as it's not too far away from actual.(I also have access to yields of other maturities such as...
by bluewave
July 10th, 2014, 5:15 am
Forum: General Forum
Topic: Approximate Roll Down and Carry for a 2/10 Flattener
Replies: 3
Views: 4950

Approximate Roll Down and Carry for a 2/10 Flattener

<t>Hi,Is it possible to use only the 2 year and 10 year generic yields to get a ball park approximate of the net Roll Down + Carry of a 2/10 flattener for the next 12 months?I understand that for a precise calculation we need to use forward yields etc, but if I only need a rough idea of the roll dow...
by bluewave
March 8th, 2013, 3:39 am
Forum: General Forum
Topic: What's the Parameter in Bloomberg's BDH Function to Get DIVIDEND-ADJUSTED stock price?
Replies: 2
Views: 13486

What's the Parameter in Bloomberg's BDH Function to Get DIVIDEND-ADJUSTED stock price?

<t>Hi,I am using the default BDH format in Excel to get the price history of a stock/ETF.However, the series returned is not dividend adjusted (meaning dividends were not reinvested).For example, for ticker TIP Equity, =BDH("TIP Equity","PX_LAST",TODAY()-365,TODAY(),"Dir=V","Dts=H","Sort=A","Quote=C...
by bluewave
December 8th, 2011, 12:38 am
Forum: Technical Forum
Topic: Need Help on Bloomberg API
Replies: 11
Views: 19645

Need Help on Bloomberg API

<t>Would it work if I remove "Filll=P"?Thanks!QuoteOriginally posted by: MHillIt seems that the "Filll=P" only works for the following calendar month.So for your quarterly series, if your start date is anywhere from 30 Sep to 31st Oct, the value as at 30 Sep will be returned, and carried forward.Usi...
by bluewave
December 7th, 2011, 7:43 am
Forum: Technical Forum
Topic: Need Help on Bloomberg API
Replies: 11
Views: 19645

Need Help on Bloomberg API

Anyone?Thanks.
by bluewave
December 6th, 2011, 2:04 am
Forum: Technical Forum
Topic: Need Help on Bloomberg API
Replies: 11
Views: 19645

Need Help on Bloomberg API

Shouldn't the forumla also return the sep30 data for the dates between sep30 to today (when there's no data)?QuoteOriginally posted by: EndOfTheWorldin that case you will get the non NA between today and the 5th of Nov, which is no data
by bluewave
December 5th, 2011, 1:47 pm
Forum: Technical Forum
Topic: Need Help on Bloomberg API
Replies: 11
Views: 19645

Need Help on Bloomberg API

But I remember when I generated this formula I selected "use the last non-N/A value when there's no data". Shouldn't this return me the 30sep11 number?QuoteOriginally posted by: EndOfTheWorldlast price is 30sep11
by bluewave
December 5th, 2011, 1:46 pm
Forum: Technical Forum
Topic: Need Help on Bloomberg API
Replies: 11
Views: 19645

Need Help on Bloomberg API

<t>Yes, because I am writing this spreadsheet on a non-bloomberg computer for someone else whose company has the terminal but he only knows how to use Excel.Please help.QuoteOriginally posted by: bearishThat is very odd. You are working on a spreadsheet that will only work on a computer where a user...
by bluewave
December 5th, 2011, 6:47 am
Forum: Technical Forum
Topic: Need Help on Bloomberg API
Replies: 11
Views: 19645

Need Help on Bloomberg API

I don't have access to the help desk.Can any one please help?
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