A repository for q/kdb+ programs. For more details on q/kdb+ visit www.kx.com.
Keywords: Binomial Model, Black-Scholes Equation, Implied Volatility, Smile, Options Pricing, Delta Hedging, Risk Neutral Distribution, Physical Distribution, Statistics, Portfolio Tracking, Tickerplant, Web Socket, JQuery UI.
Blog: https://arjunadelta.wordpress.com
###What's New?
Portfolio Tracker version 0.4 is now available under /portfolioTracker directory.
New features in version 0.4:
- Enhancements to support strategy backtesting by replaying historical tick data.
- Historical tick data is sourced from http://www.netfonds.no. Of course you can use other sources, but may require editing of timersvc.q under /histTickData directory.
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Delta Hedging Simulator is now available under /deltaHedging directory.
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###Projects:
- Binary and Barrier Options Pricing.
- Here we tried to price two types of options. The Higher and the No Touch which are available on binary.com website.
- Volatility are considered to be constant. Here I used Implied Volatility calibrated based on price available from binary.com website.
- 1-month LIBOR is used as risk free rate.
- FX rates data is sourced from Yahoo Finance.
- Communication between back end and front end is done using Web Socket.
References:
- Derman, Emanuel, and lraj Kani. "The Ins and Outs of Barrier Option: Part 2." Derivatives Quarterly, Winrcr 96 URL: http://www.emanuelderman.com/media/insoutbarriers2.pdf
- Implied Risk Neutral Distribution.
- Computation of Implied Risk Neutral Distribution by recovering from index option prices.
- Here I use Nikkei 225 Options data available from Osaka Stock Exchange (OSE) website.
- Data source: http://www.jpx.co.jp/markets/statistics-derivatives/daily/index.html
References:
- Shimko, David C(1993): "Bounds of Probability", Risk, 6, 33-7
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- Portfolio Tracker.
- Demonstrate the use of feed handler, tickerplant as well as tick subscriber.
- Market data is sourced from Yahoo Finance. Please note that it is a delayed tick data.
- A feed handler based on Random Walk Simulation is also available so that application can be tested during market close. This simulator can be found under feedHandler/randomWalkSim directory. The file is feedsimR.q.
- PnL is calculated based on the difference between average bought/sold price and last price.
- Charts are rendered using Google Chart Api.
- Web Socket is used to push data to GUI.
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- Physical Distribution Estimation.
- An estimation of physical distribution based on historical data using Gaussian Kernel.
- Here I am using Nikkei 225 daily historical data for year 2014. This data was downloaded from Yahoo Finance.
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- BS Model Viewer.
- A graphical viewer for Black-Scholes model for European Call Option.
- The GUI allows user to change parameters and see how the Greek letters change.
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