A repository for q/kdb+ programs. For more details on q/kdb+ visit www.kx.com.

Keywords: Binomial Model, Black-Scholes Equation, Implied Volatility, Smile, Options Pricing, Delta Hedging, Risk Neutral Distribution, Physical Distribution, Statistics, Portfolio Tracking, Tickerplant, Web Socket, JQuery UI.

Blog: https://arjunadelta.wordpress.com

###What's New?

Portfolio Tracker version 0.4 is now available under /portfolioTracker directory.

New features in version 0.4:

• Enhancements to support strategy backtesting by replaying historical tick data.
• Historical tick data is sourced from http://www.netfonds.no. Of course you can use other sources, but may require editing of timersvc.q under /histTickData directory.

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Delta Hedging Simulator is now available under /deltaHedging directory.

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###Projects:

1. Binary and Barrier Options Pricing.

• Here we tried to price two types of options. The Higher and the No Touch which are available on binary.com website.
• Volatility are considered to be constant. Here I used Implied Volatility calibrated based on price available from binary.com website.
• 1-month LIBOR is used as risk free rate.
• FX rates data is sourced from Yahoo Finance.
• Communication between back end and front end is done using Web Socket.

References:

• Derman, Emanuel, and lraj Kani. "The Ins and Outs of Barrier Option: Part 2." Derivatives Quarterly, Winrcr 96 URL: http://www.emanuelderman.com/media/insoutbarriers2.pdf

2. Implied Risk Neutral Distribution.

• Computation of Implied Risk Neutral Distribution by recovering from index option prices.
• Here I use Nikkei 225 Options data available from Osaka Stock Exchange (OSE) website.
• Data source: http://www.jpx.co.jp/markets/statistics-derivatives/daily/index.html

References:

• Shimko, David C(1993): "Bounds of Probability", Risk, 6, 33-7

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3. Portfolio Tracker.

• Demonstrate the use of feed handler, tickerplant as well as tick subscriber.
• Market data is sourced from Yahoo Finance. Please note that it is a delayed tick data.
• A feed handler based on Random Walk Simulation is also available so that application can be tested during market close. This simulator can be found under feedHandler/randomWalkSim directory. The file is feedsimR.q.
• PnL is calculated based on the difference between average bought/sold price and last price.
• Charts are rendered using Google Chart Api.
• Web Socket is used to push data to GUI.

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4. Physical Distribution Estimation.

• An estimation of physical distribution based on historical data using Gaussian Kernel.
• Here I am using Nikkei 225 daily historical data for year 2014. This data was downloaded from Yahoo Finance.

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5. BS Model Viewer.

• A graphical viewer for Black-Scholes model for European Call Option.
• The GUI allows user to change parameters and see how the Greek letters change.

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