Top new questions this week: |
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Model Arbitrage: Modified MIFOR vs SOFRFor USDINR swaps, Indian banks use Modified MIFOR (SOFR +Fwd) curve as both the forward curve for determining INR cashflows as well as the discount curve while most international banks use a multi ...
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Does the spread of discounted bonds behave differently than the spread of par bonds?Say that you look up the spread of a particular bond segment, like Norwegian fixed-coupon corporates, on Bloomberg, and it tells you that discount margins increased by 50bps compared to yesterday. You ...
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Greatest hits from previous weeks: |
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How to check if a timeseries is stationary?I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
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Where to get long time historical intraday data?I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...
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How to construct a Risk-Parity portfolio?If I would like to construct a fully invested long-only portfolio with two asset classes (Bonds $B$ and Stocks $S$) based on the concept of risk-parity. The weights $W$ of my portfolio would then be ...
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What is the difference between convertible bond and bond with warrant?One site suggested the difference is that the warrant in the bond with warrant is a fixed price on company stock. E.g. for a \$1000 bond, you can buy 500 shares at \$2 each. And that convertible bonds ...
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Difference between Risk Transfer and Risk SharingThere seems to be a thin line between risk transfer and risk sharing. Can someone explain with example how can this be differentiated?
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What is the intuition behind cointegration?What is the intuition behind cointegration? What does the Dickey-Fuller test do to test for it? Ideally, a non-technical explanation would be appreciated. Say you need to explain it to an investor ...
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What are some useful approximations to the Black-Scholes formula?Let the Black-Scholes formula be defined as the function $f(S, X, T, r, v)$. I'm curious about functions that are computationally simpler than the Black-Scholes that yields results that approximate $...
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