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May
13
comment Are Futures exactly Delta One?
I never agreed with your statement, in fact I did not even discuss the "discounted spot price". But let me be more specific that I was referring to the delta of a forward of a non-dividend paying stock. My answer stands, the delta of such contract is 1.
May
13
comment Looking for C# library that provides/contains performance analytics
...will write my own library. I am almost convinced that is the best way anyway because performing most performance algorithms during time-series building run-time is computationally way more efficient than doing so on top of completed time series. I think your rude and condescending attitude to those who wrote up the two answers is out of place, especially given that you could not even write up your own two lines of answer, either because you have a beef with me or for whatever other reason. I do use R, but not for this project, hope this makes it clear now.
May
13
comment Looking for C# library that provides/contains performance analytics
Dirk, I think you should contain yourself a little, you are getting offensive. Given that a number of investment banks nowadays run whole exotic option pricing engines on Windows Servers, that most tier 1 bank pricing library's language of choice is C# nowadays, that many of the new front-ends are served via WPF guis does not lend much credibility to your arguments. You are the only one who sounds furious that I am not embracing R, and I have no idea why you would care. I told you already I wont use R and if I do not find a better solution then I ...
May
13
comment How to price long dated options most efficiently?
You are welcome, and the difference in final price are negligible, given you compare apples with apples, model-wise. Unless I know exactly what alternative pricing approach we are talking about I would not know which one is computationally more intensive.
May
13
comment Are Futures exactly Delta One?
I disagree. Can you please walk me through your derivation of forward delta? You need to discount the change in value back hence exp(r(T-t)) cancels out.
May
13
comment Calculate correlation between two sub portfolios and the combined portfolio
downvoter, care to comment? Anything wrong with my logic?
May
13
comment How to price long dated options most efficiently?
You should read up on the underlying methodologies. If you make the time spans between discretizations small enough the solution converges to exactly the same as if you used a closed form solution (given same underlying model). There is a reason monte carlo approaches are perused at most every exotic rates and equity desk. By the way a lot of banks locate the pricing of long-dated option contracts with the exotic guys because those are the ones that are better at stripping out dividend curves, and anything else that affects long-date contract pricing.
May
13
comment How to price long dated options most efficiently?
I do not find your criticism towards Monte Carlo simulations valid - if you use the same underlying model, for example a specific discretization, you get the exact same value (option price or greek or what have you), regardless of whether you derived the value through BS or MC. The difference originates from the underlying pricing model or model that you use to drive the asset price evolution.
May
12
comment In a mis-matched trade who profits?
"almost surely" is trademarked by Steven Shreve (CMU) already ;-)
May
12
comment Why is “full” Yield Curve (term structure of interest rates) 3 component based?
Not necessarily. There are a myriad of reasons why certain instruments are used and that can change over time. Example, the libor "rigging" scandal fundamentally changed how libor curves are built at many desks. I am not a curve building expert by any means, just saying chosen instruments do not always depend on liquidity alone.
May
12
comment Why is “full” Yield Curve (term structure of interest rates) 3 component based?
Well, tread carefully, I have only peeked at QLNET and saw the bootstrapping and curve building functions, I have not used them. Maybe more experienced users will add more insight.
May
12
comment How to price long dated options most efficiently?
I said European. I do not have much experience pricing long-dated American options. Maybe someone else can chime in.
May
12
comment How to price long dated options most efficiently?
BS is not a good model for long-dated European options. Among others put delta is severely understated. Also, you want to keep in mind that implied volatility for long term options exhibits strong auto-correlation with time and reflects a geometric decay pattern. This should lead to the next question then whether the volatility process modeled should not be given much more importance for long-term options over short-term options. Keyword: Stochastic volatility. (contrary, it has been shown that stochastic rate processes do not really improve the model for long-dated options). My 2 cents...
May
12
comment In a mis-matched trade who profits?
would be nice to add a "disclaimer" :-)
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
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
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?