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Message History

Has anyone tried to map RIC to Bloomberg tickers using AI tools: ChatGPT, Gemini, Claude?


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In binomial tree model, the stock price is modelled in the form of $S_{k\delta}=S_{(k-1)\delta}\exp(\mu\delta+\sigma\sqrt\delta Z_k)$, where $\delta$ is time invertal between two observations $S_{k\delta},S_{(k-1)\delta}$, $Z_k=1,-1$ for upward and downward scenarios of the stock price change.

I noted some illustrations of variance and mean to explain why the model is ...


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I've googled and read many articles about "ROIC" and "Invested Capital", but I'm still confused about how to calculate them.

The best explanation I've seen so far is:

Invested Capital (from CFI)

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How do I use maturity date of an ois instead of its tenor, I am using the following QuantLib function:

ois = ql.MakeOIS(ql.Period('3Y'), index, 0.1, nominal=1000000, settlementDays=0, effectiveDate=ql.Date(28,6,2024), paymentLag=2, paymentAdjustmentConvention=ql.ModifiedFollowing)

Using the following function takes away the ability of paymentLag:

ql.Overn...


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Background

Specifically, the 2026 value of $\sim5.01\%$

Deriving the model

We can derive the Hull–White analytical solution

$$r_t = r_s e^{-\kappa(t-s)} + \int_s^t e^{-\kappa(t-u)} \theta(u) du + \sigma \int_s^t e^{-\kappa(t-u)} dW_u$$

where the continuo...


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