Skip to main content
Quantitative Finance

Questions tagged [compounding]

Ask Question

The tag has no summary.

46 questions
Newest Active Bountied Unanswered
1 vote
0 answers
97 views

I have a daily time series with interest rates and my task is to find accrued interest for a given investement amount and time period. I'm working with continous compounding and day count convention ...
zetrherae's user avatar
  • 41
1 vote
0 answers
67 views

Suppose you have $100 But you invest 10% of in in each investment with payoffs (multipliers). that are as follows; 1, 0.9, 2 Investing 10% into 1: ...
M4X_'s user avatar
  • 111
0 votes
0 answers
85 views

The formula for the effective rate per period (of say $n$ days) for backward looking overnight interbank *borrowing has been quoted as follows in my textbook: $$ \left( \prod_{i=1}^{n} \left(1 + \frac{...
user75302's user avatar
  • 1
1 vote
0 answers
85 views

I’m wondering if simple interest rates models, like Vasicek, could be successfully used for modeling compounded setting-in-arrears rates (compounded SOFR for example)? As far as I see I can do that ...
KiNest's user avatar
  • 71
0 votes
1 answer
143 views

Consider two investment strategies: Every year, I have a quantity $I_a$ to invest. There is a financial object that gives an anual return of $r$, that is, after a year it transforms $I_a \mapsto rI_a$....
FriendlyLagrangian's user avatar
  • 103
0 votes
1 answer
229 views

Why does compounding doesn't work in short positions? Let's say I have following mini time series 5 6 4 2.5 Returns are -20%, 33% and 37.5%. So compounding return equals to 46.67% = 0.8 * 1.33 * 1.375....
Fadai Mammadov's user avatar
  • 21
0 votes
0 answers
119 views

I have a hypothetical investment strategy that returns $x$ amount after $n$ days for a $1/n$ portion of the portfolio. I want total cumulative portfolio return. Is this right? Basically, I calculate ...
cona's user avatar
  • 123
1 vote
1 answer
782 views

This might be a rather basic question that might be closed... but I can't for the life of me understand why in many Google search results the annualization of daily returns is done like this: r_yearly ...
KaiSqDist's user avatar
  • 2,886
0 votes
1 answer
149 views

I know this is back to basics but I am perplexed by it!!! Assume that the future value (FV) of an investment at the end of year 1 is 112, the annual arithmetic expected return is 12%, hence the ...
lkonoplev's user avatar
  • 61
1 vote
1 answer
769 views

This question concerns old LIBOR Swaps where their fixed legs are based on 30/360, and floating legs on Act/360. Q1. Let's assume the simple self-discounting case where spot rates are obtained ...
Curiosity's user avatar
  • 43
-1 votes
2 answers
129 views

I'm just curious there is any useful "meaning" or interpretation we can assign directly to $r_c$. Of course one can directly calculate the non-continuously compounded interest from $r_c$, ...
uncreative's user avatar
  • 101
1 vote
1 answer
483 views

I need help in understanding Quantlib's interpretation of yield curve and rates. The rate output retrieved from yield curve differs from expectation for non continuous cases. Illustration: Let's start ...
Rohit Gajare's user avatar
  • 53
0 votes
1 answer
314 views

I am calculating equivalentrate between two days in quantlib python using following functions but the output is not matching with the manual calculation. ...
Roshan Yadav's user avatar
  • 49
0 votes
3 answers
344 views

Say I have a portfolio which contains two components, A & B. Below are the daily contributions to performance (0.02 equals 2%), where the overall portfolio return is equal to the sum of component ...
mHelpMe's user avatar
  • 259
0 votes
1 answer
194 views

Let's say we have a stock whose price goes up at a rate (from the doubling time formula): $ r = e^{(\text{volume}/1000 * \ln(1.2))} - 1 $ (The 1 is subtracted from e^pwr, not from pwr) Meaning that it ...
Hiperfly's user avatar
  • 135

15 30 50 per page
1
2 3 4