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It is very possible to produce code in Java that: Does not create any garbage so GC never kicks in. It is JIT-friendly so the critical parts will be compiled by the hotspot. If you do that, you can get code as fast as C++. Some of the most successful HFT hedge funds out there use Java. For example, we have developed a FIX engine (CoralFIX) that produces ...


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It seems to me that JavaScript charting is becoming relatively poplar see google trends. The main example is d3js and things that run on top of it like c3js and nvd3. I recently wrote a simple python wrapper for c3 and called it python-c3 which demonstrates how simple it is to get something up and running which does javascript plots. The source code is very ...


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I think your approach based perhaps on The Complex Unit's forum post is correct. However, you may be making this more confusing for yourself with the notation and vocabulary. The phrase volatility matrix is not really correct though I can see how someone might get there because the market price of risk formula looks like and is related to the Sharpe Ratio ...


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Some option prices can't be converted to volatility. E.g. A bid for an in-the-money call which is below its intrinsic value. So sometimes NaN is a valid answer. Best way to handle it is to do precursory checks before going down to the search loop.


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.NET doubles return double.NaN when you do things like divide zero by zero. With doubles, anything less than double.Epsilon is "zero" for the purpose of this result. I suggest that your vega is less than double.Epsilon What happens if you run the same method using decimal instead?


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Peter Jaeckel wrote a paper just on how to solve this problem: By Implication (July 2006; Wilmott, pages 60-66, November 2006). Probably the most complicated trivial issue in financial mathematics: how to compute Black's implied volatility robustly, simply, efficiently, and fast downloadable from jaeckel.org In my experience the most important thing is to ...


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Below is the root search algorithm code I wrote in college. This is written in octave. It's simple to understand and re-write in C++. Develop numerical methods algos as a separate module and integrate with your pricing and other code I want to WARN you to re-check for bugs. It always converges for my objective functions First function is Dekker method ...



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