## simple example simulation of delta hedging with python

Here we will present simple python code of delta hedging example of a call option . it’s a minimal example with zero interest rates , no dividends. On day 1 we sell 10 near ATM call options and start delta

## python and derivatives pricing tutorial

Tutorial objective: write and understand simple minimal programs in python for pricing financial derivatives topics: Brownian motion objective: draw and calculate properties of brownian motion using python Black scholes pricing objective: calculate call option price Heston model objective: draw forward

## How to prepare for quantitative finance intervew

If you apply for quant analyst/quant developer job at investment bank/ hedge fund your quantitative finance interview will generally consist of 4 parts: Programming (C++,python,data structures) General probability/calculus questions Stochastic calculus Derivatives pricing questions for asset class (equity derivatives,interest rate

Posted in OTC derivatives valuation Tagged with: , , ,

## Libor in arrears convexity adjustment simple example

simplified Libor in arrears payoff: pay at time 1 1-year Libor reset at time 1 F(1) $$\frac{NPV(0)}{P_1(0)}=\mathbb{E}^1 (\frac{F(1)}{P_1(1)})$$ where $$\mathbb{E}^1$$ is measure with numeraire $$P_1(t)$$ change measure from time 0 to time 1 (time while F(t) is changing)

Posted in OTC derivatives valuation Tagged with:

## Derivatives CVA calculation example Monte-Carlo with python

Here we’ll show an example of code for CVA calculation (credit valuation adjustment) using python and Quantlib with simple Monte-Carlo method with portfolio consisting just of a single interest rate swap.It’s easy to generalize code to include more financial instruments

## Black Scholes calculator online with dividends

Black Scholes calculator online price of Call option and Option’s delta and gamma introduce inputs in yellow cells: dividend yield (all cash dividends divided by spot) excel : Advanced Black Scholes calculator Advanced Black-Scholes online calculator takes real market interest

Posted in OTC derivatives valuation Tagged with: , ,

## how to value Credit Default Swap default leg and default probabilities

how to value CDS (credit default swap) default leg with following time structure: 0—-t1—–t2—-t3—–t4—–….—T Suppose that default (at time ) can only occur at discrete times t1,t2,t3,.. and Qi=survival probability until time $$t_i$$ then  \tau – time of default

Posted in math, OTC derivatives valuation Tagged with:

## FX forward valuation excel

Here we’ll show how to value FX forwards (Foreign eXchange) on EURUSD exchange rate in excel with quantlib excel addin in this example we’ll need following market data: EURUSD spot EURUSD forward points (can get from bloomberg or reuters) EUR

Posted in OTC derivatives valuation

## Amortizing interest rate swap valuation excel example

Amortizing interest rate swap valuation excel with 2 curves example: for online amortizing interest rate swap valuation with credit valuation adjustment see Online Amortizing Interest rate swap valuation with CVA and OIS discounting for quantlib python version see Amortizing Interest

Posted in OTC derivatives valuation, quantlib Tagged with: , ,

## Simple Derivatives CVA Calculation Example (credit valuation adjustment) excel

Here we show simplest method called current net exposure for more elaborated Monte-Carlo method using python see CVA with monte carlo calculation for online interest rate swaps and OTC derivatives valuation with CVA see Derivatives accounting calculators CVA calculation online

Posted in OTC derivatives valuation Tagged with: , , ,