Blog Archives

RWE npower Forecasting Challenge

January 26, 2015
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RWE npower Forecasting Challenge

Lately I have been involved in organising forecasting competition for undergraduate students. The obvious goal is to find someone with forecasting power who would potentially be interested in internship or graduate scheme. Recently, I asked a few people from quant and forecasting teams to try the task out in order to validate the data and get some opinions about...

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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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