Here's an updated BSM.cpp with the above changes:
The above one works in GNU g++. Try by replacing the above one it with this one below. Your C++ compiler should understand C++11. The last...
I don't know C#, but I think it is similar to C++ and Java. In C++ I would define a structure with the fields I'm interested in, and create an...
Ok, my Black-Scholes-Merton method used in the system you can find here for inspection:...
Hi again everybody, here's also a C++ class for pricing options premiums (Black-Scholes-Merton). /* BSM.cpp - Black-Scholes-Merton options...
BTW, the "AnnDriftPct" parameter is the expected annual returns in pct the stock makes (don't ask me how to know that in advance, but one can take...
Ok, I'll check if it is easily extractable from my sources for standalone testing... I think yes...
Here's an updated version (v1.00). Now t-distribution can be enabled via the last constructor parameter. Now also the verifikation formula works...
Micorosoft and AI..., LOL! :-)
Everybody expects a bear market, and you buy calls. Maybe it works with SBUX. Good luck.
Just have your own database. Backfill it from historical data feed(s), and update from RT data. I would not use any SQL db, instead would use an...
MDD is a good starting point, ie. the biggest drawback in % of the account value. Of course the smaller this value is, the better it is. Usually...
Thx for sharing these interessting results with us. I've no experience with the FX markets yet, but I just wonder: wouldn't limit orders (instead...
I'm a non-native German, ie. foreigner, living in Germany. You can imagine how my chances are to convince local people, especially in these...
Please read the section "Run" in the comments header of the code. Under Windows you would simply do this in a command window: pgmname...
Ok, the source code of my GBM routine can be found here:...
Hi fellow developers, here's some source code I wrote for generating time series using Geom. Brownian Motion (GBM): /* GBM.cpp - Geom. Brownian...
You should have read more carefully what the requirements of the system are. Trading $20k won't be enough. The system is for big accounts, ideally...
I will shortly post my GBM routine for public inspection...
Can you explain this a little bit? Yes, you could be right with this assumption. Thanks, this question has already been answered many times....
Separate names with a comma.