Thought experiment

[ivantchourilov]

haha get s89 no im sure there could be a few people who would be interested in doing this

 

[jamescummins]

I dont have it with me, but this is covered in dynamic hedging of exotic options - cant remember who it is buy, but it is pretty famous... Can find out if people want to know.

I built a model of a similar problem, which was essentially a series of binary/digital options daily, within a monthyl knock in/out collar. What was hard was accurately modelling the volatility since it becomes a surface. That took me a fair while to get my head around!! You can defo do it in Matlab though. C++ - you would have lost me, ask a Phd geek in the corner

If all else fails, use excel solver and just build some buttons on a spreadsheet - normally fools my boss

 

[ivantchourilov]

I dont have it with me, but this is covered in dynamic hedging of exotic options - cant remember who it is buy, but it is pretty famous... Can find out if people want to know.

I built a model of a similar problem, which was essentially a series of binary/digital options daily, within a monthyl knock in/out collar. What was hard was accurately modelling the volatility since it becomes a surface. That took me a fair while to get my head around!! You can defo do it in Matlab though. C++ - you would have lost me, ask a Phd geek in the corner

If all else fails, use excel solver and just build some buttons on a spreadsheet - normally fools my boss

hahaha my lecturers barely know how to use solver, yet its one of the "cornerstone" tools of research and analysis... hahaha. i really need to check out this matlab...

 

[MrGecko]

Ivan

Octave

Check out the Octave software before you fork out for Matlab; apparently the code is interchangeable. It is not that "user friendly" though, for every error I make in a function (and there have been alot), I'm having to re-define the function all over again. I've looked through the help bit, but that's not very well organised either.

Still, if you know what you are doing, you might have more success than me. Up until today I have been faithful to excel my whole career...

 

[ivantchourilov]

Ivan

Octave

Check out the Octave software before you fork out for Matlab; apparently the code is interchangeable. It is not that "user friendly" though, for every error I make in a function (and there have been alot), I'm having to re-define the function all over again. I've looked through the help bit, but that's not very well organised either.

Still, if you know what you are doing, you might have more success than me. Up until today I have been faithful to excel my whole career...

haha excel is relatively powerful, but its a little limited i think. im presuming you work as a quant or something along those lines?

 

[MrGecko]

Not really a quant, more trader + Nerd.

 

[bypath3]

I'd opt for maple

 

[ivantchourilov]

Not really a quant, more trader + Nerd.

haha what does that mean? full time trader?

 

[MrGecko]

Yes pro trader, looking to move into new markets for better ROC.

 

[arabianights]

Right I've got no positions, a decent profit, no real sense in joining or fading this silly move going on at the moment... so normally would go home at this point; instead I'll spend an hour collecting stops if any go off and coming up with a basic design for this simulator and upload what (if anything) I get by the end of it.

 

[arabianights]

Ok, here's a first idea of a class structure, does this make sense to people? Not much work done (partly because there's a flipper on Euribor at the moment who allows you to print money if you put up with him, and I got sucked in again...) but I think it may be enough to allow some idea of where I'm going.

Essentially you'd be coding a class deriving from TradingStrategy which will send messages, and receive them, to a TradingBook...

 

[MrGecko]

err... all I get is about half a dozen notepad documents... what am I doing wrong?

(actually, given that all I know about Java is related to Coffee, should I be doing anything?)

 

[arabianights]

yeah that's the basic outline as java source.

It's probably crap java, like I said a while since I've done any coding...