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Search found 33 matches

by SWilson
August 21st, 2019, 9:27 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 0
Views: 54

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: 94

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: 675

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: 283

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: 283

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: 283

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: 151

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: 561

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: 331

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: 561

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: 561

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?  
by SWilson
December 12th, 2018, 7:38 pm
Forum: General Forum
Topic: CVA models
Replies: 4
Views: 488

Re: CVA models

Thanks Cuch
by SWilson
December 12th, 2018, 2:37 pm
Forum: General Forum
Topic: CVA models
Replies: 4
Views: 488

CVA models

Can anyone recommend a good source for an off the shelf CVA model even if it costs some $$.  I'm most interested in PFE but something comprehensive across various methodologies and instruments is fine.  Thanks.  
by SWilson
November 30th, 2018, 2:37 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 223
Views: 24964

Re: Philosophy of Mathematics

I used to work for CIS Medusa CAD (A wonderful package). At one stags  I needed to write an NC interface using lines, arcs etc. but it was the pre-OO era. So I got my school books and wrote the subroutines in Fortran. We brought the code to a trade show with a real live NC machine; there was a mism...
by SWilson
November 29th, 2018, 5:22 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 223
Views: 24964

Re: Philosophy of Mathematics

Fortran, boxes of punch cards, computers the size of refrigerators, 3-phase power, took 2 days to run a job only to realize you goofed your code and had to re-run. As new shapes were being modeled, incorporating those into your model.  What?! Polyhedron!?  What a time.   Let me guess ... you had la...
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