Blog Archives

Variance Swap Replcation in R.

July 6, 2013
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Variance Swap Replcation in R.

As I was studying volatility derivatives I made some charts that represent some key features of replication. Say variance swap has a payoff function \(f=(\sigma^2 - K_{VOL}) \), which means that \(K_{VOL}\) will most likely be the forward volatility cl...

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Technical(and not technical) strategy testing

June 25, 2013
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Technical(and not technical) strategy testing

I got "hooked" on OOP approach of R in particular reference classes. And after my last little project on option scenario analysis I reconstructed my messy technical strategy testing code.Now to begin I would like to reason why I have done this while there exists a nice "blotter" and "quantstrat" packages.First of all "quantstrat" is faster than blotter, which...

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Scenario analysis and trading options using R

June 16, 2013
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Scenario analysis and trading options using R

I present you with my restructured project on options trading and scenario analysis. You are more than welcome to try it out. Firstly, I will give a small presentation that will reveal what you can do with it and whether you need to continue reading. T...

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Scenario analysis for option strategies Pt. 2

June 10, 2013
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No vivid improvements since the last post. However, I got it to the stage, when I can share the code and let you try it yourself: https://github.com/afraid2trade/SCENARIO_ANALYSIS.git Once you downloaded it, the only thing you need to open is "sa_work...

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Scenario analysis for option strategies.

May 30, 2013
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Scenario analysis for option strategies.

Introduction to the project I am working on at the moment. It is more a playground for option strategies than "project" at this stage. The idea is to develop accurate scenario analysis on portfolio, which is based on a single underlying. In the past I ...

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