For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.

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2
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2answers
125 views

Q regarding amortization of 500,000 loans

I am brand new to this forum. I asked this question on the main StackOverflow site and it was suggested that I ask here. My task is to find a method to quickly calculate the monthly cash flow on ...
2
votes
1answer
155 views

Test .mql4 (meta trader 4 editor) when the fx market offline

I am coding some simple .mql4 program, you know, the fx market is offline on weekend, and the market will be not shown in Meta trader 4 platform. I wanna test my program in meta trader 4 on weekend. ...
4
votes
0answers
126 views

How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?

As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated. Currently I am trying to ...
0
votes
0answers
73 views

Does anybody know how to use jquantlib with eclipse?

I'm currently beginning to work on my masters project in QF and I wanted to use jquantlib for my work. I've searched the internet quite a bit but couldn't find good understandable info on how to work ...
3
votes
1answer
202 views

What is the best data structure/implementation for representing a time series in C#?

I'm looking for a tick by tick high performance container. So far I've been using List where Tick is a simple struct with a DateTime and double field. I'm using Linq for date lookups but it's ...
1
vote
2answers
2k views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
1
vote
0answers
14 views

Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
2
votes
4answers
161 views

Obtaining intra-day values of the EUR-USD exchange

I need for my project the values of the EUR-USD exchange (both intra-day and ticker). I've been playing around with the Yahoo's YQL API and at this moment I can obtain the current value of the ...
3
votes
0answers
338 views

Bloomberg scripting language (BLAN)

Did anyone work with Bloomberg scripting language (BLAN is the name I guess). If so is it really flexible and is it competitive with other valuation services (say Super Derivatives). Does it enable ...
1
vote
2answers
278 views

What is the current lowest possible latency for TCP communication?

I have two machines over a 10Gb network that need to communicate with each other through a TCP connection. In terms of technology, what is the current lowest latency possible for this to happen? What ...
0
votes
1answer
564 views

Excel to Java for Interactive brokers

I have a working excel workbook connected to Interactive brokers DDE API. I am struggling to upgrade to a more robust environment like Java. I tried to change it to ActiveX for Excel but the ...
4
votes
3answers
226 views

Technical analysis - Calculating Aroon Indicator Serie

I'm trying to build a class to create Aroon series. But it seems I don't understand the steps well. I'm not sure about what purpose I have to use the period parameter. Here is my first attempt: <...
2
votes
0answers
104 views

Calibration of Heston version of CIR

I'd like to calibrate a variant of Heston model for interest rates which is describe by this couple of SDE \begin{aligned}dr_t&=a(b-r_t)+\sqrt{r_t}\sigma_t dW_t^1 \\ d\sigma_t&=k(\theta-\...
2
votes
2answers
2k views

The future language of quant programming? [closed]

Im just about to begin the programming aspect of my education towards being a Quant. I know what languages are currently being used and how popular they are. However, I have several good friends ...
1
vote
2answers
293 views

What Matlab packages to I need as a Risk Analyst?

What toolbox are more suitable for a risk analyst. I found this: Optimization toolbox Global optimization toolbox Econometrics toolbox Financial toolbox Statistics toolbox And also I have as a ...
1
vote
1answer
657 views

IB with R which package?

I want to implement my models in R and trade according to them with my IB account. Now I am wondering, how I should solve this problem? Do I need to program with C an access (https://www....
0
votes
0answers
149 views

Java Implied Volatility Solving with Newtons Method

Hi I am currently working on implementing my newtons method to guess implied volatility and I have the same code as you do. However, my vol result goes to infinity and I have not figured out why my ...
1
vote
5answers
778 views

API-based equity screeners?

I know there are APIs from different brokers that allows you to trade and also obtain information about specific companies, but I wonder if there are equity/asset screeners that are API-based and can ...
2
votes
3answers
604 views

Dou you have an example of implementing Engle-Granger 2-step cointegration?

Does anyone know where to find an example of implementing Engle-Granger 2-step cointegration? Python's ideal, but any language will do. I've skimmed and read many articles, but understand little ...
3
votes
1answer
585 views

Which method is implemented by Excel's YEARFRAC for ACT/ACT?

I know the algorithm used by Excel to calculate the YEARFRAC(startDate, endDate, basis) for basis=1. Excel calls the method "act/act". A Java re-implentation of Excel's algorithm can be found at ...
1
vote
1answer
177 views

What is an appropriate algorithm to use for tax loss harvesting?

I've been reading into how Betterment and Wealthfront have architected their tax loss harvesting algorithms, but they stop short of providing any real examples. Essentially, they both reduce to: <...
7
votes
2answers
4k views

Fastest news feed APIs targeting high frequency trading?

The Dow Jones elementized news feed API seems to stand out but are there any other machine readable news feeds out there that provide very low latencies that high frequency operations may peruse? I am ...
4
votes
1answer
228 views

Why annualized return and cumultive return aren't equal over 1-year period with Performance Analytics package in R?

I use Performance Analytics package in R to compare annualized and cumulative return of a portfolio. My expectation is that both should be equal over a period of 1-year but results tell me I'm wrong. ...
3
votes
1answer
243 views

Do you have a good application example of Approximate Dynamic Programming?

Have you ever tackled a finance problem with Approximate Dynamic Programming? I have only used dynamic programming for simple examples like a optimal extraction in mining. Do you have canonical ...
5
votes
5answers
2k views

Library for interactive financial charts

For my recent project I am looking to build a software capable of visualizing financial charts in a dynamically and interactive matter. The workflow is as follows: I gather data from my data ...
1
vote
1answer
976 views

Bloomberg equity option volatility data

Using the Bloomberg open API, I am trying to program a C++ script that is able to download option volatility data from Bloomberg. I currently do not have access to Bloomberg, but in the coming week I ...
3
votes
3answers
7k views

What is the difference between the Interactive Brokers demo account and a personal paper trader account?

I'm interested in testing my trading strategy using the Interactive Brokers API for Trader Workstation. A demo account is provided to play with TWS for free, but if I fund a real account I will be ...
1
vote
3answers
448 views

How does logging effect Quickfix performance?

I am using .net/c++ version of quickfix. How does logging effect Quickfix performance? If I disable logging to file, can it help to increase performance of quickfix? Thanks,
2
votes
2answers
837 views

How to calculate the volatility matrix with multiple stocks

calculating the volatility for a single stock is straightforward. However, I'm not sure whether my approach for calculating the volatility matrix for multiple stocks is correct: I assume a log-normal ...
1
vote
1answer
179 views

Median value for geometric brownian motion simulation

I'm trying to simulate stock prices using GBM. I am using the following formula, and MATLAB function, to determine the stock prices: $\nu = \mu - \frac{\sigma^{2}}{2}$; $S = S0*\text{[ones(1,nsims); ...
1
vote
1answer
1k views

examples of c++ code with application to quant finance [closed]

I've some intermediate knowledge in C++. However, the knowledge is more of a theoretical nature and not applied to quant finance problems. I'm looking for good sources, code examples books blogs ...
23
votes
9answers
5k views

How good is managed code for algo trading?

I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ...
3
votes
2answers
194 views

C# - Using Black Scholes Newton returns NaN occasionally

First caveat: I'm a programmer doing this for a client, and my knowledge of options probably has holes in it. So be a little forgiving here. =) The Issue: When I run Black Scholes Newton against ...
4
votes
3answers
1k views

What is an efficient method to find implied volatility?

I have a code that finds the implied volatility using the Newton-Raphson method. I set the number of trial to 1000 but sometimes it fails to converge and doesn't find the result. Is there a better ...
6
votes
1answer
290 views

What is a good Computer Algebra System for financial engineering?

I would like to know if there exists some computer algebra systems adapted to calculate pricing based on particular models, i.e. pricing YoY Inflation Swap under Jarrow Yildirim Model. I know that ...
1
vote
1answer
136 views

Choosing broker to run with Zipline

Which brokers offer Python integration/API? Which brokers offer R integration? I'm starting on trading, and I want to learn about algorithm trading. So I would like to know what brokers offers these ...
5
votes
3answers
2k views

VaR implementation using quantlib?

I am thinking of writing a VaR framework for my existing system, using quantlib to do the bulk of the calculations. Despite several searches, I have not as yet come across a quantlib VaR ...
7
votes
2answers
2k views

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

I have a question about the function Return.portfolio/Return.rebalancing from the Performance Analytics package in R. I take ...
3
votes
3answers
216 views

Convergence of GBM mean after simulation?

As a follow up of my previous question, I am now simulating the GBM step by step for $n$ steps. I am using the following implementation for the simulation: $$S_{t+1} = S_t \exp \left[ \left(\mu-\...
3
votes
1answer
153 views

What is wrong in this GBM simulation?

I am trying to generate a few samples of GBM using the following very simple MATLAB code: ...
0
votes
1answer
161 views

Contribute to Finance related projects [closed]

I am currently a student and in the future would like to work as a software developer for a financial institution such as Bloomberg, Factset etc. I was looking to contribute to some open source or ...
5
votes
5answers
3k views

Is there a charting API which allows to replicate Bloomberg chart tool features?

I believe that most of us will agree that being able to compute values is only part of our job, as we would also like to be able to display them nicely in order to better understand or help co-workers/...
5
votes
1answer
810 views

QuantLib: Black / BSM processes and pricing via volatility surface. Different results?

I start this question with a couple of C++ functions that will be useful to show some results. So start your Visual Studio C++ Express or Ceemple or whatever you want and copy & paste this: ...
0
votes
0answers
75 views

How to display stock prediction results?

I'm not sure if this is a question for "Quantitative Finance" or "Personal Finance & Money" so forgive me if this one is irrelevant for this site. The Situation So I wrote a program (in vb.net ...
4
votes
1answer
2k views

What is the best solution to use QuantLib within Excel?

Excel is likely the most widespread instrument across all not-only-quants desks; in addition, we have to keep in mind that Bloomberg and Reuters allow to easily import real time data in Excel, and ...
2
votes
1answer
2k views

How to build an execution trading system with CQG API?

I am currently using CQG for spread trading and have a spread trading strategy in CQG chart. I am trying to automate my spread trading strategy in CQG, but CQG told me to look at CQG API samples to ...
2
votes
2answers
786 views

IP API Active X for Excel refresh rate

I have been working on the EXCEL DDE sample worksheet and works fine and now I would to upgrade to ActiveX instead of DDE as I heard it is more robust but I found the refresh rate of ActiveX is even ...
1
vote
3answers
216 views

Obtaining Expense Ratio Data

I have a list of tickers (~11,500) in a .txt/.csv file and accompanying fund data from yahoo finance. I'm wondering if there is a reasonably easy/accessible way to use this list to obtain expense ...
2
votes
2answers
1k views

What is the Most Efficient Way to Calculate the Internal Rate of Return IRR?

I have built a program that prices financial assets and it does this in part by calculating the IRR. The problem is that it does not run as quickly as I would like it to. I currently use the Newton-...
1
vote
1answer
289 views

Plot Evolution of portfolio weights over time in R [closed]

Is there any function for plotting the evolution of portfolio weights over time in r?. I have a matrix of portfolio weights from an equal weighting strategy at rebalancing times and want to plot ...