Directory of Open Source for Quantitative Finance and Trading
Username: Password: Not registered?
Quick Search:    (AJAX based: No need to press button)

SoftwareRe: Windows / Linux / Unix Real-time Options Calculator 1...2015/10/28
Now available for Mac OS X.
SoftwareRe: Local volatility surface2015/5/18
The formula above (and consequently the Matlab implementation) is not correct. In Equation 12, the term in the denominator after the plus sign, has sigma i squared. This should just be sigma i without the squared. See: Equation 3.19 in Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options by Antonie Kotzé - Journal of Risk and Financial Management ISSN 1911-8074 Equation 5.26 in Local and Stochastic Volatility Models: An Investigation into the Pricing of...
SoftwareRe: [web:reg] GARCH(1,1)2015/3/2
SoftwareAlgoTrader 2.2 is Here!2014/12/10
Hi traders, Still looking for that smart solution to beat the markets and get the most out of your trading? Check out the latest edition of AlgoTrader 2.2 at along with all the new features allowing you to take control of your trading like never before. AlgoTrader is a Java-based algorithmic trading platform that enables you to rapidly develop, simulate, deploy and automate any quantitative trading strategy for any market. Version 2.2 has just...
SoftwareRe: Gaussian, Student ,Clayton, Frank and Gumbel copulas2014/6/26
Greetings Vanna! Thanks for your great posting. I was wondering have you tried to simulate in vba multivariety archimedean Copulas (> 2 assets)? I is hard to find any examples how to approach the > 2 case with Archimedean copulas. thanks in advance on your answers! markus Finland
SoftwareOpen Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX2013/7/18
We are very pleased to announce that version 2.0 of AlgoTrader has been released. This version contains the following new features: - Multi Account Handling - Bloomberg Market Data Interface - Hibernate Level-Zero Cache - New Execution Algorithm “Distributional” - Interactive Brokers Financial Advisors Handling over FIX - SABR Option Pricing Engine - Single-JVM Live-Trading Mode - Eclipse Colorer Integration - Support for Global Industry Classification Standard (GICS) - 3rd Party L...
SoftwareOpen Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX2013/6/13
We are proud to announce the new AlgoTrader Level-Zero Cache. Using Level-Zero Cache automated Trading Strategies can profit from full database access in Live-Trading without introducing any latency penalties. There are many advantages of having a database available to your trading strategy: orders / trades can be stored, current positions are available even after a system restart, performance indicators can be calculated based on database data, etc. Java based systems often use persistenc...
SoftwareBlack Litterman Implied Returns2013/6/1
where does Black take the covariance matrix from? historical?
SoftwareOpen Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX2013/6/1
AlgoTrader is now available as a commercial product (with Support, Professional Services, etc.): The AlgoTrader Enterprise Edition now has many new Features including: 3 different GUI's Different Broker Interfaces (Native and Fix) Support for custom Derivative Spreads Several built-in Execution Algorithms Support for wide array of security types and asset classes Multi-Account Functionality & & Multi-Module Strategies Automated Forex Hedging & Options Pricing Engine ...
SoftwareCode Financial Modelling2013/5/31
I am working on calculate the credit risk of a bank using Geske's model. I want to know how to use the matlab code to calculate the asset volatility, probability of default, value of asset, endogenous default boundary.
SoftwareGlobal Derivatives Matlab Code2013/5/31
Can I get the Matlab program to calculate implied value of asset, implied asset volatility, value of default boundary, and short term default probability.
SoftwareUnit root testing demo using Augmented Dickey fuller test2013/5/30
formulate a unit root test, using augumented dickey fuller test for the project topic the impact of crude oil price shocks on nigerian economy growth
SoftwareExample of using Levenberg Marquardt for Parameters calibration in Excel2013/5/29
I have the same question "i am not understand levenberg marquardt algorithm,and how to applied, can u give me some example of this theory." Would it be also possible to post answers, so everyone can benefit from it?
PapersNumerical Simulation of American Options2013/5/25
how can i catch the codes please
SoftwareBond duration2013/5/23
Hi, could you help for a template to manage bonds portfolio using BPV monitoring
FAQCode Request Page2013/5/22
pricing of vanilla call options granted by average payoff at maturity
SoftwareMinimum Variance Portfolio2013/5/21
HI, but in your code you're not considering any restriction on the minimum portfolio return you want to get, is that rigth? thanks!
PapersStochastic Volatility Model with Time dependent Skew2013/5/16
A Multi-Quality Model of Interest Rates
SoftwareVasicek model estimation using Kalman filter2013/5/15
the attached matlab file does not work guys right? thank you
PapersImplementation of the Black, Derman and Toy Model2013/5/13
Me and this article, stiting in a tree, L-E-A-R-N-I-N-G!
PapersMaximum likelihood estimation of the Heston stochastic volatility model using asset and option price2013/5/13
Hi,Yes price is already olnivappreg under B so strictly speaking there is a set up. The idea behind the strategy on the chart though is to wait for a bit more certainty about the overlap. The dashed line is well down into a support zone under B. If price gets under that you can be a bit more confident that the market is displaying real weakness and not just flicking briefly below the peak at B.If we do get a reversal, the profit objective is likely to be good enough to justify a later entry like...
well I tried too many codes and by far none of them worked. I tried yours as well but no sucecss. Just wondering if there is any way to make it work.I'm a little bit suspicious about mod_gzip and mod_deflate.
SoftwareImplied Volatility2013/5/6
Need the actual code for the above function as my matlab program doesn't have the finace toolbox
SoftwareTime Series Excel files of Professor Ser-Huang Poon2013/4/30
The link is broken :(
FAQWhat is importance sampling?2013/4/22
for Matlab, do you know any of the following or know where I can find out about them? I searched on the web and couldn't find out what they mean Xtemp Winc n_bin = 200 iTime iPath disp(sprintf('mean: %.5g\n',stndrd_dev)); strm = RandStream('mt19937ar','Seed',575) @(t,X) tInsert rndmat likeve
SoftwareTutorial for optimal weight matrix in Generalized method of Moments2013/4/20
what is weight matrix??
SoftwareOption price using Binomial tree with discrete dividends2013/4/19
when entering the dividends paid after option expiry it shouldn't affect the option price
SoftwareExample of using Levenberg Marquardt for Parameters calibration in Excel2013/4/16
I also have a question about additional set of parameters. How can I add a strip of values to use in formula? Say y1=ax1^2+z1*bx1+c,y2=ax2^2+z2*bx2+c
SoftwareAugmented Dickey Fuller Test (ADF) in Excel VBA2013/4/13
SIR/MADAM:- example of error correction model
SoftwareExample of using Levenberg Marquardt for Parameters calibration in Excel2013/4/12
Why is it giving me Type Mismatch error when it can't find a solution?
SoftwareExample of using Levenberg Marquardt for Parameters calibration in Excel2013/4/12
It's constantly giving me type mismatch error for some data that it can't optimize. What should I do?
SoftwareBilinear interpolation function in VBA2013/4/12
not working pal
SoftwareDynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds)2013/4/11
do you have a password:
SoftwareAsian Option price using Monte carlo simulation2013/4/6
I want to ask you the VBA code for Asian options with stock that pays dividend
SoftwareVanilla Option pricing in Variance Gamma model using Monte Carlo simulation (II)2013/3/28
Can you display the two functions; gamma and normal
SoftwarePairs trade finder from Yahoo Finance in C#2013/3/25
I intresting to use this application! Is more day i try to setting all but i not arrive to use this! I use windows Xp S3 and i install Framework 4.0 and i install all 3 program ( MySQL Community server - ADO .NET connector - MySQL workbench) and Visual Studio 2012 Premium... I try to more configuration but i not arrive to run the application ... In particolar yahootest if i open with VS 2012 tell me i do to some modification to open the file.... and some persone in some forum tell there is a ...
SoftwareTutorial for using MINPACK's C version of Levenberg Marquardt optimizer2013/3/22
I did it as you said, but it can not work,it show include "stdafx.h" is not exist,and there is no main function! can you tell me how to work!!
SoftwareVector Autoregression (VAR) in Excel2013/3/21
give a real problem so easily understand the solution with suitable approach....
SoftwareOption Price using CRR Rubinstein Binomial tree2013/3/13
SoftwareUnit root testing demo using Augmented Dickey fuller test2013/3/7
unit root testing demo using Augmented Dickley Fuller test,stepwise process.God bless.
SoftwareVasicek model estimation using Kalman filter2013/2/28
Hello, I am a student working on the Vasicek Model as my thesis and the Kalman filter is one calibration technique im investigating. Could you kindly send me the complete code at
SoftwareGARCH code in Excel2013/2/21
I believe that the first component in the loglikelihood function should be -ln(sigma^2)/2 or -ln(sigma). This spreadsheet has it as -ln(sigma^2).
SoftwareOption Price using CRR Rubinstein Binomial tree2013/2/16
Hello, can there be a code showing how the stock price and option price tree looks like. The output can be throw to sheet 2 and sheet 3 respectively. Many thanks!
SoftwareBilinear interpolation function for GSL2013/2/13
Here's a translation using STL + Boost: // // returns neighbouring indexes in a STL vector // void GetNeigbourIndices(const vector inArr, const double x, int& lowerX, int& upperX ) { int N = inArr.size(); if(x <= { lowerX = 1; upperX = 1; } else if(x >= - 1)) { lowerX = N; upperX = N; } else { for(int i = 2; i <= N; i++) { if (x < { lowerX = i - 1; upperX = i; break; } else ...
SoftwareFinite Difference Methods for American Option2013/2/10
some of this code does not work!!!
SoftwareYield Curve Paremeterization using NS2013/2/1
If I change in market data, tau and actual market yield, i won't get fitting error sum equal to zero using Solver function.
SoftwareGaussian, Student ,Clayton, Frank and Gumbel copulas2013/1/30
How do I change the mean and stdev of the simulated copulas? Is there a way to adjust skewness and kurtosis of the student-t copula?
SoftwareAsian option price using binomial tree2013/1/30
Can you send me a copy of the paper? I would greatly appreciate it.
SoftwareLSM Monte Carlo for American Options Pricing2013/1/28
I want the program of LSM for american put option pricing. thanks
FAQCode Request Page2013/1/24
Hi, I am looking for matlab code of how to calculate the price of a capital protected structured note with a call option. email:
1 2 3 4 ... 16  Next
Similar Links:
Copyright © 2011 QuantCode Inc. All rights reserved.