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by ashkar
April 22nd, 2016, 12:00 pm
Forum: Trading Forum
Topic: Variance swaps for vega hedging
Replies: 7
Views: 3885

Variance swaps for vega hedging

In my view varswap is a good skew hedge particularly because your gamma is not pinned around any particular strike. I think most finance book authors don't have practical vol trading experience to make the distinction.
by ashkar
March 13th, 2016, 12:04 pm
Forum: Programming and Software Forum
Topic: Software engineering in python
Replies: 9
Views: 2740

Software engineering in python

<t>QuoteOriginally posted by: CuchulainnQuoteNow I'm contemplating going back to c++. I've had my adventures in python and it was fun but I don't feel confident developing libraries in this language.Python is the new Matlab.No free lunch I suppose. Can you name one dynamically typed language that is...
by ashkar
March 13th, 2016, 11:51 am
Forum: Programming and Software Forum
Topic: Software engineering in python
Replies: 9
Views: 2740

Software engineering in python

<t>Thanks Hansi. Lots of useful pointers there. I havent got too far with python yet so I can still move the core parts of the python library back into c++. My impression now is to keep python as a very light layer utilising pandas, numpy etc. I have known about static compilation packages in python...
by ashkar
March 11th, 2016, 6:16 pm
Forum: Programming and Software Forum
Topic: Software engineering in python
Replies: 9
Views: 2740

Software engineering in python

<t>Around 3months ago, I started writing a library in python that calls into my c++ library for pricing deals. The python library is a wrapper to do useful things with a simpler interface (e.g instead of 5 lines of c++ code, the python interface will give a timeseries in 1 line of code). Initially I...
by ashkar
February 8th, 2016, 10:12 am
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8187

Shared ptr

<t>I was due a reply to Cuch on this topic about changing the MSVC shared_ptr to boost to test if the debugger shows the correct types. I eventually had to do it anyway (to make it work with SWIG). But yeah, the assembler code using boost shared_ptr shows up correctly in the debug windows in visual ...
by ashkar
February 8th, 2016, 9:39 am
Forum: Careers Forum
Topic: Models at hand - now what?
Replies: 1
Views: 3994

Models at hand - now what?

<t>Best fit doesn't imply best model... In my view you cant do much with it unless you're trading exotic and believe that your models capture the vol dynamics (not vol fit) better than the street. And market makers will charge you a healthy spread (because they know from experience none of their mod...
by ashkar
February 8th, 2016, 8:58 am
Forum: Careers Forum
Topic: Where do I go from here?
Replies: 26
Views: 4533

Where do I go from here?

<t>I got pinged by a recruiter at fb about development role involving graph theory, algorithms etc. Also saw a lot of ML jobs on linkedin after I did a quick search. I suspect fb will pay more than £100K for senior developer. As an ML analyst at fb etc, you will also get to code quite a lot and also...
by ashkar
September 8th, 2015, 10:05 am
Forum: Programming and Software Forum
Topic: technology stack for analysing 1Tb dataset
Replies: 11
Views: 5514

technology stack for analysing 1Tb dataset

<t>What would you say is the cheapest way (in terms of building infrastructure) to analyse trade data potentially around 1Tb size? The data that we will be calculating is historical prices and greeks for various exotics/structured deals with a large super-set of pre-calculated hedge trades. The oper...
by ashkar
August 19th, 2015, 5:11 pm
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8187

Shared ptr

<t>Finally hunted it down, some of the trade types were being cached by the framework thus returning same pointers. It wouldn't have been this difficult to track down if the debugger was more helpful. I'll try replacing with boost sharedptr and see if the debugger is any better. As Cuch says, since ...
by ashkar
August 19th, 2015, 7:48 am
Forum: Programming and Software Forum
Topic: VBA highlight all hardcoded cells
Replies: 5
Views: 3036

VBA highlight all hardcoded cells

You could check the variant type explicitly. Something like below
by ashkar
August 18th, 2015, 10:35 am
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8187

Shared ptr

<t>I'm using VS2010, no threads. Debugging with tr1 shared_ptr is very misleading in VS. I had to dump out the assembler code to file which has the correct sharedptr types and then try best to match the buggy call stack in the debugger against the file output. I haven't been able to find the issue y...
by ashkar
August 17th, 2015, 11:34 am
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8187

Shared ptr

It seems that the assembler code in visual studio shows the wrong ownership type for shared_ptr i.e. the actual pointer being deleted is not QDSynthForward. I'll post back with more details if I find something interesting. Thx for the suggestion outrun.
by ashkar
August 17th, 2015, 7:42 am
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8187

Shared ptr

<t>Hi guysI'm debugging some code that throws an access violation error that occurs at the end of the application when the call stack is unwound.Its a long code base so its difficult to explain the control flow here. I saw something odd in the assembly code. In the attached code I cant understand wh...
by ashkar
June 18th, 2015, 8:42 am
Forum: Student Forum
Topic: Good references on Asset allocation
Replies: 0
Views: 2357

Good references on Asset allocation

<t>Hi GuysI have derivs pricing background so no previous experience in this. The business want to offer a backtesting tool for clients. The offerings will include indices/ss and liquid vanilla/varswaps. Currently we are just exploring ideas.Could you suggest good references discussing current trend...
by ashkar
April 24th, 2015, 3:52 pm
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53439

sample cuda problems in finance

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: outrunADI is inherently sequential, as aahkar's data show.That's wrong reasoning about causality. The doesn't *show* that it is inherently sequential, he (maybe?) used a sequential tridiagonal solver,...
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