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May
12
comment Why is “full” Yield Curve (term structure of interest rates) 3 component based?
Look at the "Related" section on this page alone, and you shall find all your questions answered. QLNet provides yield curve building, bootstrapping, and related functions.
May
10
comment Looking for C# library that provides/contains performance analytics
...and running the accompanied sample code and having to deal with runtime errors is a show stopper for me, meaning the library is either hopelessly outdated or the library was coded up in a sloppy fashion. (And yes, I configured RServe correctly). I rest my case with this, if RServe works for you then all the more power to you.
May
10
comment Looking for C# library that provides/contains performance analytics
I am not sure what you are talking about. R is not the right solution for me and I would only go this route if there is no other alternative and here is why: It takes more than 10 seconds to send a simple array/vector with 1,000,000 elements through R.NET. On the other hand the Rserve C# client comes out of the box with runtime errors. Unfortunate but very typical experience for me with many packages and extensions regarding R. The big issue is that a lot of this stuff is not peer reviewed and more often than not packages contain serious bugs.
May
10
awarded  Nice Answer
May
9
comment Looking for C# library that provides/contains performance analytics
...but by all means if you think your suggestion is the best you can think of feel free to write up a 1-2 liner as answer...it is definitely A way to solve the question at hand.
May
9
comment Looking for C# library that provides/contains performance analytics
@Dirk Eddelbuettel, slightly bizarre is all I can say. Not sure whether you would also convince your coworkers or bosses to use 2-3 detours to force them into R when a Java or C++ solution is asked for. PerformanceAnalytics is a great R package if I wanted to use pure R. But to ship a large time series across the .Net-R interface and having to wait literally an eternity just does not make it feasable for me to go this route.
May
9
revised Looking for C# library that provides/contains performance analytics
added 165 characters in body
May
9
comment Looking for C# library that provides/contains performance analytics
@DirkEddelbuettel, nobody disputed that a package for R exists and I acknowledge your expertise on the R side (among most likely other, to me unknown, areas) . But I think I made clear that I look for a C# library, not an R package. I am a bit irritated why the condescending tone, if you do not know of such library or dislike Windows or .Net for that matter, why having to comment?
May
9
awarded  Promoter
May
9
comment What does “true”volatility mean in volatility comparison?
Do you have backup for this claim? I am not aware that institutional vol traders peruse specific compressed bar data to calculate realized vol. Some may, but to my knowledge there is no best practices that refer in any way to 5 minute data.
May
8
revised Calculate correlation between two sub portfolios and the combined portfolio
added 4 characters in body
May
8
answered Calculate correlation between two sub portfolios and the combined portfolio
May
8
answered What does “true”volatility mean in volatility comparison?
May
6
comment Looking for C# library that provides/contains performance analytics
@Joshua Ulrich, I am familiar with the library and have coded against it but at this point I rather like to perform all computations natively in C# or else export the dataset (most likely through Redis) and run the analytics in R. At the moment I prefer to run within C# only. R.NET is good at running a couple commands but shipping larger datasets through the API seems very slow.
May
6
asked Looking for C# library that provides/contains performance analytics
May
6
comment C# Broker API for FX Trading
For what it's worth, Interactive Brokers just released a native C# .Net API.
May
4
reviewed Close What is shorting a asset that has negative price. Can anyone give me an example?
May
2
comment What should I put on a math finance cheat sheet?
funny, some professors really seem to operate on stringent budgets. +vd
May
2
comment What should I put on a math finance cheat sheet?
(1) Beware of model risk, (2) beware of model risk, (3) beware of model risk. If you always keep this in mind you will do just fine. If someone wakes you up at 3 in the morning and tells you that the trading performance deviated from expected model performance by metric x then you should immediately be able to answer the question whether the model should be retired/improved/reworked. I am telling you because it is not what might happen but what will happen.
May
2
answered What noun is used to describe whether an option is call or put?