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by morc
February 27th, 2008, 1:35 pm
Forum: Programming and Software Forum
Topic: Risk management system for volatility trading hedge fund
Replies: 14
Views: 62890

Risk management system for volatility trading hedge fund

Well, I'm mostly interested in managing my volatility arbitrage strategies. It is critical to have real-time greeks, P/L contributions and also scenario analysis.
by morc
February 27th, 2008, 1:33 pm
Forum: Trading Forum
Topic: smile decay
Replies: 4
Views: 62287

smile decay

<t>This is probably related to the flattening of the volatility surface for longer dated expiries. For many products the volatility curve for a distans expiry is pretty much flat (not really depending on strike) and when that expiry gets closer to expiration the volatility curve becomes more V shape...
by morc
February 21st, 2008, 3:00 pm
Forum: Programming and Software Forum
Topic: QuantLib alternatives?
Replies: 5
Views: 72269

QuantLib alternatives?

What about FINCAD, Savvysoft or NumeriX?From what I understand they provide good functionality (with NumeriX at the high end).
by morc
February 21st, 2008, 1:03 pm
Forum: Programming and Software Forum
Topic: Risk management system for volatility trading hedge fund
Replies: 14
Views: 62890

Risk management system for volatility trading hedge fund

<t>2) I didn't learn how to use it to trade options,( I was using a different platform, for stupid logistical reasons)What system did you use? Could you also execute options through that system? If that was the case, would you recommend it for order entry purposes? What about the analytics provided?...
by morc
February 21st, 2008, 12:53 pm
Forum: Programming and Software Forum
Topic: Risk management system for volatility trading hedge fund
Replies: 14
Views: 62890

Risk management system for volatility trading hedge fund

<t>QuoteOriginally posted by: PaperCut---------------------I just meant that the occasions that's I've used it I only used it to execute futures, and the interface was set up to be inconvenient and kind of awkward for me.-----------------------My main concern is the analytics part, the order entry p...
by morc
February 21st, 2008, 12:52 pm
Forum: Programming and Software Forum
Topic: Risk management system for volatility trading hedge fund
Replies: 14
Views: 62890

Risk management system for volatility trading hedge fund

-------------Have you looked at Murex ? -------------No, I haven't looked at Murex. Can you tell me more about it?
by morc
February 7th, 2008, 10:03 am
Forum: Programming and Software Forum
Topic: Risk management system for volatility trading hedge fund
Replies: 14
Views: 62890

Risk management system for volatility trading hedge fund

<t>I'm in the process to start a new volatility trading hedge fund and as part of that I need to find a risk management system that supports the instruments we will trade. We will initially focus on volatility trading in STIR, treasury and volatility derivatives (no market making).Any suggestion on ...