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Sounds very interesting. I wonder what option pricing
you are using to determine the implied volatility? Do you have a data
source or have to input the quotes directly?
Cheers,
Richard
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Matt Atterbury
To: <A title=amibroker@xxxxxxxxxx
href="">AmiBroker
Sent: Saturday, October 12, 2002 4:19
AM
Subject: [amibroker] Option Pricing
DLL
I have finally written my option pricing DLL. It provides a
function tocalculate an option's Theoretical Value (slow) and another
function tocalculate an option's Implied Volatility (very slow). Adding
morefunctions (eg. the greeks) shouldn't be too hard.If anyone
wants a copy, let me know, or give me simple (:-) instructionson how to
upload it to the 3rd party site. I am offering the DLL, twosample
indicators, and the source code (VC++). The documentationconsists of
comments in the indicators' code only - if you don't understandoptions,
this DLL probably isn't for you.TJ, is there any way to have a plugin
return multiple values? Could itbe done by passing in arguments that the
plugin modifies? Would thiswork for arrays and simple values? I ask this
because the IV calculationeffectively calculates delta, and adding
some/all of the other greeksshould be trivial as well, but calling
multiple functions is toooo sloooow(since, for example, the IV calculation
uses a simple form of Newton-Raphson, which calculates the TV 3 - 4 times
on average, each of whichis already fairly "expensive").Even if a
plugin can return multiple values, could they be displayed indifferent
graphs/panes? Displaying the IV and the TV in the same paneis pointless
since their scales are so different (though you probably havesome clever
way of fixing that? :-).Regards,Matt Atterbury
(mailto:matt@xxxx)Post
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