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by SWilson
September 6th, 2019, 2:27 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 845

Re: Negative Strike Price

Thanks Alan.  I'm looking through this now.  
by SWilson
September 5th, 2019, 9:39 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 845

Re: Negative Strike Price

add a displacement (assuming S + d is log normally distributed) and re-calibrate your smile parameters What d(isplacement)? Any number? Taken out of your or your colleague's arse? I'm not sure which language in Google Translate I'm supposed to use to understand what "a negative strike price as it r...
by SWilson
September 5th, 2019, 9:19 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 845

Re: Negative Strike Price

I will speak for myself, this is in practice and just working on pure mechanics right now.  Philosophical  rigorous (ish) justification is next.  In the past 6 months I've seen more exotic deals than ever, feels like out of nowhere.   Anyways, Espen, I've used your works to create and code models th...
by SWilson
September 4th, 2019, 6:15 pm
Forum: General Forum
Topic: LIBOR Replacement Secured vs Unsecured
Replies: 2
Views: 318

Re: LIBOR Replacement Secured vs Unsecured

Yes.  We're a little early to the party.  I've heard a myriad of possible solutions and outcomes. Too much speculation at this point.  
by SWilson
August 21st, 2019, 9:27 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 845

Negative Strike Price

Using a plain vanilla black scholes option model how would one handle a negative strike price as it relates to, a basis of, underlying.  So the basis differential can float from negative to positive but the strike is always negative.  I was thinking of converting the prices to the outright amounts b...
by SWilson
July 29th, 2019, 2:41 pm
Forum: General Forum
Topic: Accumulator Pricing
Replies: 0
Views: 334

Accumulator Pricing

Trying to price an accumulating option (daily continuous monitoring) with knock out.  I was originally using a sum of a series of partial time end barriers and valuing each day as a stand-alone option but I think there is a better way.  Advise? Below?? http://www.plhyu.com/administrator/components/c...
by SWilson
June 14th, 2019, 7:50 pm
Forum: General Forum
Topic: VAT
Replies: 7
Views: 842

Re: VAT

Obligations are all shifting to the sellers.   The trend is as a seller no matter where you sell, the authorities want you to collect and remit regardless of what geographical area you're doing business. This can be a major administrative burden, especially for smaller scale sellers that sell to man...
by SWilson
May 24th, 2019, 3:19 pm
Forum: Technical Forum
Topic: Partial Time Barrier Option
Replies: 5
Views: 451

Re: Partial Time Barrier Option

Thanks Alan.  This helps and I jumped the gun since I can see now the arguments being passed into the bivariate that you described above.  Old dog > new tricks
by SWilson
May 24th, 2019, 3:05 pm
Forum: Technical Forum
Topic: Partial Time Barrier Option
Replies: 5
Views: 451

Re: Partial Time Barrier Option

Ohhhh ok.  This barrier expires at T expiration so it's a little different but nonetheless this explains the 2 random integrals.  I was confused that I was looking at a 2 asset barrier which uses the multivariate.  This helps.  
by SWilson
May 24th, 2019, 2:26 pm
Forum: Technical Forum
Topic: Partial Time Barrier Option
Replies: 5
Views: 451

Partial Time Barrier Option

Trying to price a Partial Time End Barrier Option.  Can someone please tell me why it's using a bivarite distribution function in the model when it's only for a single asset?  I don't have 2 random variables, only 1.  Thanks.  
by SWilson
May 21st, 2019, 5:49 pm
Forum: General Forum
Topic: Need Delta Help
Replies: 0
Views: 380

Need Delta Help

Have some deals that came across my desk that have multiple provisions.  It's a combination of a path dependent swap, a plain vanilla euro put and then a path dependent call all combined in one deal.  The path determines if the volumes accumulate or not and then are settled at expiration.  So in pra...
by SWilson
February 25th, 2019, 3:07 pm
Forum: Programming and Software Forum
Topic: Docker/Containers
Replies: 7
Views: 717

Re: Docker/Containers

Thanks rrtucci,.  Our goal is to horizontally scale some of our functions so as far as actually stat libraries and functions we're ok.  Bayesforge appears free on the AWS marketplace so you pay for just the EC2 instance.  Been experimenting..... using containers and an orchestrator (kubernetes) is g...
by SWilson
February 20th, 2019, 6:46 pm
Forum: General Forum
Topic: Turnaround Strategies For Distressed Companies
Replies: 2
Views: 346

Re: Turnaround Strategies For Distressed Companies

I would read case studies of actual turnaround stories.  There are a lot of them.  Then you can define your own strategies.  
by SWilson
February 11th, 2019, 2:51 pm
Forum: Programming and Software Forum
Topic: Docker/Containers
Replies: 7
Views: 717

Re: Docker/Containers

I am currently playing with docker. The business logic is based on the Monte-Carlo simulation. And yes, my goal is to create a scalable (micro)service architecture. Since Monte-Carlo can be run in parallel, all I have to do is to put my container in Kubernetes and let it manage the balancing (at le...
by SWilson
February 6th, 2019, 8:27 pm
Forum: Programming and Software Forum
Topic: Docker/Containers
Replies: 7
Views: 717

Docker/Containers

Has anyone been building their apps using Docker for their heavy computational processes?  Or in general, has anyone been creating micro-services in containers for their programs for speed and scale?  
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