Questions related to quantifying risk and the allocation of assets and liabilities over time under conditions varying uncertainty--including questions on the use of the built-in financial functions of Mathematica.

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6
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466 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. ...
6
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0answers
470 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
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0answers
163 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 ...
4
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0answers
88 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 ...
4
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0answers
143 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 ...
4
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0answers
215 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
78 views

Possible bug in fetching price index data?

I seem only able to fetch price index data for the U.S. For example, the following fails (Mathematica 10.2): ...
2
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0answers
38 views

How to find euro zone equivalent of treasury data in U.S. using FinancialData?

For example I use FinancialData["^TYX", "Price", {{2004}, {2014}, "Week"}]; to get data for U.S. treasury data, can I do the same for eurozone yield curve? I know I ...
2
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0answers
185 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: ...
2
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0answers
409 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 ...
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0answers
50 views

Autocorrelation in Tail Events

I have a single time series of financial data (stock index returns) and would like to study the autocorrelation among (log-)returns that are classified as "extreme", for example via exceedance of a ...
0
votes
0answers
66 views

FinancialData, comparing returns accounting for different holidays

At the moment I am trying out the FinancialData feature of mathematica. I am a bit struck with the problem of dropping returns for dates of a list of different stocks not being equal for all stocks ...
0
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0answers
198 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
255 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 ...