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Sep
1
comment For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?
I second your latter paragraph. In some cases storing the data in segregated arrays will be computationally more intensive than storing data of identical time stamp in a struct or class. I coded up my own binary data store and query engine and it ended up to be a lot faster than kdb for standard queries. The data store manages blobs by time stamp rather than segregating out by columns. Obviously my own custom solution only supports what I need and a fraction of what kdb offers. It all comes down what queries need to be supported.
Sep
1
comment Monte Carlo Options Probability Calculation
BS: Simpler computationally speaking but very limited in regards to payoff functions, most non vanilla options do not have closed form solutions. MC: More computationally intensive but very flexible in its usage, including your choice of underlying price driven process. But this is not a forum to walk people through the basics of option pricing or Monte Carlo applications. Please google those topics for solid introductions and/or search this forum because questions about MC already exist here.
Aug
29
comment VSTOXX Implied Volatility Calculation
thanks for additional comments, I still feel 1.4-1.6 is extraordinarily high even for near expiries but not saying its impossible.
Aug
23
revised Japan day count conventions
added 149 characters in body
Aug
23
answered Currency forwards implied interest rates
Aug
23
answered Japan day count conventions
Aug
22
comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices
@JoaoSerafim, I deleted my comments because I felt they were misleading. Quick summary of what I have been trying to say: The Black model is just the base framework. Depending on the underlying-forward/futures relationship (equity futures, commodity futures, currency futures, index f), the Black framework needs to be slightly adjusted and you end up with an extension of the Black framework, such as with Garman-Kohlhagen.
Aug
22
comment VSTOXX Implied Volatility Calculation
thanks for the update. Could you please comment on the y-axis units? It says ImpliedVol but the values do not correspond to reasonable implied volatility levels.
Aug
21
comment VSTOXX Implied Volatility Calculation
@Eli, would you mind sharing some of your findings? Of course only material you do not define as edge, I am simply curious what kind of analysis you have performed and the results you found as far as you feel comfortable commenting on. Would be a rare but highly pleasant treat.
Aug
21
answered How do I take an unbiased, sector neutral sample from a stock index?
Aug
17
comment How to compute a sector's volatility within a portfolio?
So, you want to calculate the variance of a specific portfolio subset (= sector), then why would you need the correlations of assets in the other sectors? All you need is the same inputs as if you calculate portfolio variance (asset weights (need to sum up to one within the sector), asset variance, and pairwise asset correlations within the same sector).
Aug
16
comment Black (1976) model: relationship between spot and forward prices
@JoaoSerafim, I meant the asset on which the option is written, which could be a foreign exchange rate, a futures price or an interest rate,...please note that the risk-adjusted probability distribution of the above mentioned product has to be lognormal.
Aug
16
revised Black (1976) model: relationship between spot and forward prices
added 2 characters in body
Aug
16
revised Black (1976) model: relationship between spot and forward prices
deleted 4 characters in body
Aug
16
answered Black (1976) model: relationship between spot and forward prices
Aug
15
comment DCF of Arbitrary Dates Cash Flows
can you maybe work a bit on your accept rate? Most 15 out of your 18 questions are having answers of which none you chose. It is hard to motivate others to help you if there is no feedback given by you whether any of the posts answered your question...just my 2 cents...
Aug
15
comment VSTOXX Implied Volatility Calculation
@Eli, the 14% jump in just 1 hour right now in VIX reminds me on your question you asked yesterday. Hopefully this is the kick-off to higher vol markets after this summer lull...
Aug
14
answered VSTOXX Implied Volatility Calculation
Aug
14
comment VSTOXX Implied Volatility Calculation
ok, sorry, misunderstood then. Will post something shortly
Aug
14
comment VSTOXX Implied Volatility Calculation
Forget models, take a look at the methodology, there are a variety of calls and puts involved, no magic there...stoxx.com/download/indices/rulebooks/stoxx_strategy_guide.pdf