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Jibber
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As to why I am writing this software, it's not so much to actually use in the market - rather I want to understand derivatives from the ground up. So I'm writing implementations in c/c++/java
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Thanks for the reply. Yes, I have read that - that is where I got the 0.18 percent for my original code. (the 52-week coupon rate for US Tbills as of yesterday). The question is that some sources refer to the risk-free rate as being the compound risk-free rate. If it is just a question of re-evaluating the equation daily using the t-bill rate then thats no problem.....I'm trying to figure out if I need to feedback anything back into the equation. Thanks for your reply.
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I'll take a stab at it, but I am not a forex trader. This just seemed like an interesting project. I got the forex market open/closes from forexmarkethours Depending on your location (I used EST for my example) you would set a cron accordingly. You might have to have some kind of exception handler to deal with holidays (null data sets coming in). But I came up with something like this: 0 8 1-31 1-12 0-5 /script I'm not sure if this is right, but hope it helps!
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Hello everyone, I'm Jay, a high-school aged want-to-be quant/coder. I decided to join here because derivatives are some really complicated things, especially attempting coding implementations. I really don't know what I'm doing, I'm just kind of diving into the guts of this stuff and seeing what I can figure out. Just wanted to introduce and say thanks! -Jibber
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Greetings! Let me start by saying this is my first post on this forum, so if I accidentally break any of the forum norms, please forgive me. I am a high school student interested in coding (one day) my own derivatives algos and I was hoping for some assistance. I have decided to start pretty simply buy coding a Forward Contract Pricing method. Here is what I have so far (this is done in a Java fork called Processing, but I think the general idea of what I'm trying to do can be read by anyone with coding experience): // F0 = forward price // S0 = the current price of the asset // r = compounding risk free rate // T = time to maturity //F0 = S0 * e^(r*T) //at the time T the customer will pay F0 (fixed at time t=0) to get the asset //if F0 > S0 * e^(r*T), would by the asset and short forward contracts on that asset //if F0 < S0 * e^(r*T), would sell the asset and enter a long forward contract on that asset class ForwardPricing { double F0,S0,r,T; ForwardPricing(double _S0, double _r, double _T) { F0 = 0.0; S0 = _S0; r = _r; T = _T; } double getValuation() { return ( Math.pow( Math.exp( 1.0 ),( r * T ) ) ); } double getPrice(double v) { return S0 * v ; } } I suppose my first question is what exactly would the compounding risk free rate be? I got that term from a website that gave me the formula for forward pricings (f0 = s0 * e^(r*T)) and as far as I can ascertain it is something along the lines of the interest rate of Tbills, or their Euro counterpart, and so on. And if that is an accurate definition (I'm open to others!), any advice on how I should compound them? There are some many terms in derivative related markets that I find myself getting confused frequently. If anyone has any advice or constructive criticism, I would greatly appreciate it! Thanks for your time, Jibber
