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安裝中文字典英文字典辭典工具!
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- returns - Calculate Average Price, Cost, (Un)Realized P L of a position . . .
We have built an algorithmic trading software and need to calculate the following parameters for each position in our portfolio Average Price Cost Realized Profit amp; Loss Unrealized Profit amp
- Bergomi: Skew arbitrage - Quantitative Finance Stack Exchange
It is smaller than the skew PnL, but has a non negligible effect on the PnL In my replication I am using the S P and my time period is 2010 to 2019, while Bergomi is using Eurostoxx and 2002-2010, so it is possible that I am picking up on a structural difference or a regime shift My questions are: Is there some mistake in my thinking?
- Gamma and delta P L example question - Quantitative Finance Stack Exchange
I'm trying to get a basic understanding of this example delta ladder Price Delta 80 43 90 31 100 25 110 11 120 -5 130 -20 140 -12 150 10 160 15 170 30 with spot at
- market making - How do I calculate Sharpe ratio from P L . . .
(pretty old, true) basically echoes the $\delta_ {PnL} \sigma$ intuition: " [ ] high frequency traders rarely position trades overnight so do not need to post capital, making it difficult to calculate their rate of return [ ] Calculating the Sharpe Ratio [ ] reduces to taking mean trading P L and dividing by the standard deviation of P L "
- How to attribute daily options P L between Greek sensitivities
When building a P amp;L attribution system for options, what is the market convention for attributing daily P amp;L between delta, gamma, vega, and theta Greeks? I'm particularly interested in how
- fixed income - Carry and roll (upfront vs running) - Quantitative . . .
I am still confused regarding the differences between upfront and running If two bonds have a spread of 50bp, does that equate to 50bp in total return over the course of the year or do I have to
- Option greeks as dollar P L - Quantitative Finance Stack Exchange
If I write the value of an option as O(S, K, T, V), where S is the underlying price, K is the strike, T is the time to expiry and V the implied volatility, how can I compute the dollar amount that
- MtM of FX Forward - Quantitative Finance Stack Exchange
I had a look at pnl calculation of FX forward but it didn't quite match my question Say $X_ {t,\tau}$ is the USDJPY FX Forward Rate as seen at time $t$ for expiry $t+\tau$
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