Questions on the financial functions of Mathematica.

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4
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1answer
41 views

How to use Epilog with Tradingchart

I am making a Tradingchart with data returned from Financialdata. I find I cannot add a line to the chart by giving the option ...
6
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0answers
72 views

FinancialData[], what does “members” include?

I am doing some manipulation of historical stock prices on the NYSE. I want to go through each stock. To find the number of entities on NYSE, one can use: ...
6
votes
0answers
427 views

Increasing recursion speed in Hull-White trinomial tree calculation

First timer here and have been finding these boards very useful in learning Mathematica. I'm trying to implement a numerical procedure for the Hull-White trinomial tree in Mathematica. Despite using ...
5
votes
0answers
223 views

How to download and combine S&P 500 stock prices

I want to download historical S&P 500 stock prices and combined them into one big file, having only one column of date referencing all stocks. Here is what I have do so far. ...
4
votes
0answers
73 views

How can I program my own financial indicator to be plotted in a TradingChart?

FinancialIndicator["ind",par1,par2,...], represents a financial indicator "ind" with parameters par1,par2, etc. All available financial indicators can be displayed with FinancialIndicator[]. Is it ...
4
votes
0answers
196 views

FinancialData property value at a given date

I was trying to get the volatility value of a specific equity on a given day. Based on the Mathematica Help, the syntax is ...
3
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0answers
120 views

Use of Ito's lemma in ItoProcess

In the documentation for the ItoProcess it says: Converting an ItoProcess to standard form automatically makes use of ...
3
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0answers
125 views

What is the signature for a callback function for FinancialIndicators?

I'd like to write my own indicators to use with functions like TradingChart. From the context, it's clear that one needs to write a function whose parameters ...
2
votes
0answers
317 views

Forecasting future Stock Prices II

I intend to do the following: I want to forecast future stock price under the following assumptions: The stock price is governed by the stochastic differential equation: dS = μSdt + σSdWt whereas ...
1
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0answers
42 views

Wrong Cashflow of Annuity with initial payment

If we use TimeValue to look at the PV of an Annuity with initial payment: The initial payment ...
1
vote
0answers
83 views

How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it) using Mathematica?

I know that if I use this code: tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}]; I can get the parameters using this: ...
0
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0answers
20 views

How to Fit a Generalized Pareto Distribution to data in Mathematica

I'd like to know how to fit a Generalized Pareto distribution in Mathematica to implement the Peak Over Threshold method for tail estimation of operational risk losses. Does anybody have a toy example ...
0
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0answers
150 views

Discrete distribution binomial set up

I hope one of you guys can help me out. I am trying to visualize a discrete distribution based on a binomial distribution and a mixed binomial distribution. In the first step I started to determine ...
0
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0answers
154 views

How to define delayed coupon payment for FinancialBond?

When the coupon calculation end date falls on a holiday, it is customary to delay the coupon payment to the next working day. E.g. a bond may have a monthly coupon calculation period of 2013 Jul 18 to ...
0
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0answers
131 views

Binomial Distribution (binomial model inspired by Merton)

Binomial Distribution (binomial model inspired by Merton) Hi I want to do the following and I hope that anyone of you can help me out. In short, I have a portfolio consisting of 10 companies, ...