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by acastaldo
May 18th, 2016, 6:48 pm
Forum: General Forum
Topic: VXX Component weight calculation
Replies: 6
Views: 1043

VXX Component weight calculation

<t>This morning the May VIX Futures expired and their final settlemnt price was announcedHere are the "index components" as reported on the iPath web site the last few days:Index Components(as of 05/17/2016)CBOE VIX Future JUN 16 100.00%CBOE VIX Future MAY 16 0.00%Index Components(as of 05/16/2016)C...
by acastaldo
May 16th, 2016, 12:46 pm
Forum: Technical Forum
Topic: Why Is Bond Time Value Risk Not Considered in Bond Immunization?
Replies: 209
Views: 11464

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

<t>QuoteCould someone please explain to me what is generally meant by a 'linear instrument'? How about his: a linear instrument can be replicated as linear combination of things priced in the market now (for example a coupon bond is a package of ZCBs representing the coupons and the face value) , to...
by acastaldo
May 13th, 2016, 1:29 pm
Forum: Student Forum
Topic: FRM I Practice Swap Question
Replies: 3
Views: 871

FRM I Practice Swap Question

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by acastaldo
May 13th, 2016, 11:22 am
Forum: General Forum
Topic: Jack Treynor, R.I.P.
Replies: 7
Views: 1618

Jack Treynor, R.I.P.

Very original thinker, opened up a new era in Finance. RIP.
by acastaldo
May 11th, 2016, 7:15 pm
Forum: Technical Forum
Topic: Question on yield curve
Replies: 7
Views: 4893

Question on yield curve

<r>QuoteOriginally posted by: DavidJNThere was a 2007 (I think) Lehman Bros document on the short end of the curve by Chris Pulman. Perhaps that might yield some insights.<URL url="http://documents.mx/documents/lehman-brothers-the-short-end-of-the-curve.html"><LINK_TEXT text="http://documents.mx/doc...
by acastaldo
May 10th, 2016, 12:17 pm
Forum: General Forum
Topic: VXX Component weight calculation
Replies: 6
Views: 1043

VXX Component weight calculation

I believe UXM6 settles in the morning of 2016/06/15 (not 06/22)However, that still does not explain the 31.6 (where does this come from?)
by acastaldo
May 3rd, 2016, 12:14 pm
Forum: Student Forum
Topic: How can I plot a graph in beamer step by step
Replies: 9
Views: 1257

How can I plot a graph in beamer step by step

If you have Micro$oft Word, simply include the .png file in the document: Insert/Picture/FromFile
by acastaldo
May 2nd, 2016, 4:24 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 100317

End of bitcoin?

<r>The Economist now backtracking on whether CW is really SN, says more evidence is needed. <URL url="http://www.economist.com/news/briefings/21698066-onus-on-craig-wright-provide-better-evidence-satoshi-nakamoto"><LINK_TEXT text="http://www.economist.com/news/briefings ... i-nakamoto">http://www.ec...
by acastaldo
April 17th, 2016, 9:02 pm
Forum: Student Forum
Topic: Duration and interest rate risk
Replies: 2
Views: 1003

Duration and interest rate risk

<t>Duration is both thingsIt is a measure of the immediate price impact of an interest rate increaseIt is also the time over which to a first approximation the price drop and the increased income offset each other.So the risk of bonds is different depending on the framework of analysis (short term o...
by acastaldo
April 15th, 2016, 5:37 pm
Forum: General Forum
Topic: What derivatives should exist ?
Replies: 5
Views: 1682

What derivatives should exist ?

<t>OK, I'll bite.How about a "cash warehouse receipt" which certifies that a sum (say 1 million CHF) in currency notes of some country has been deposited in a safe place, and can be traded between investors. This would be designed to get around the problem that bank sight deposits in some countries ...
by acastaldo
April 15th, 2016, 1:37 pm
Forum: Student Forum
Topic: correlation of illiquid stocks
Replies: 7
Views: 17830

correlation of illiquid stocks

<r>QuoteJan 2012: been looking at autocorrelation and found this: <URL url="http://www.siam.org/proceedings/datamining/2005/dm05_74erdogane.pdf"><LINK_TEXT text="http://www.siam.org/proceedings/datamin ... dogane.pdf">http://www.siam.org/proceedings/datamining/2005/dm05_74erdogane.pdf</LINK_TEXT></U...
by acastaldo
April 1st, 2016, 10:44 pm
Forum: Student Forum
Topic: Explicit Parisian Option
Replies: 3
Views: 1447

Explicit Parisian Option

<t>Hi all, I have here an Explicit Parisian Option in VBA from Wilmott's book. Quote Function ParisianPut(Asset, ExpTime, Sigma, IntRate, Div, _ BarTime, Barrier, Strike, NoAssetSteps) Dim VNew(0 To 300, 0 To 500), VOld(0 To 300, 0 To 500), _ q(0 To 300, 0 To 500) As Double ds = Strike / NoAssetStep...
by acastaldo
March 30th, 2016, 5:17 pm
Forum: Student Forum
Topic: Stochastic correlation matrix
Replies: 2
Views: 36511

Stochastic correlation matrix

<t>If you believe that there is a true Covariance matrix that only God knows and that what we see differs from that because of estimation error, then Michaud's Resampled Efficient Frontier approach may be helpful. But if you think the covariance matrix truly changes (eg. is different in economic rec...
by acastaldo
March 29th, 2016, 5:48 pm
Forum: Numerical Methods Forum
Topic: nonparametric estimation of SPD
Replies: 3
Views: 2065

nonparametric estimation of SPD

<r>Are you familiar with Non Parametric Kernel Regression?Because that is key to the whole thing: To estimate an (approximate) Option Pricing function H via NPKR and then differentiate it twice (numerically) with respect to K to find the SPD.NPKR is well described in various statistics references <U...
by acastaldo
March 27th, 2016, 2:56 am
Forum: General Forum
Topic: Transaction Cost for Treasury Strips
Replies: 2
Views: 1469

Transaction Cost for Treasury Strips

<r>Here are the bid and ask for transactions of 1 million or morehttp://<URL url="http://www.wsj.com/mdc/public/page/2_3020-tstrips.htmlAs">www.wsj.com/mdc/public/page/2_3020-tstrips.htmlAs</URL> you can see, for 10 years from now2026 Feb 15 82.569 82.650the half spread is 0.04 which represents a tr...
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