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Eubie

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Everything posted by Eubie

  1. Eubie

    Options Arbitrage

    Hello guys, I tried to find a forum dedicated to financial derivates pricing without success, so Im trying my luck here. My question is only partially related to trading, altough it is dependent on the no arbitrage condition. So... I have two currency call options, let's say CHF/USD and CHF/EUR (meaning I can buy USD and EUR for CHF). Consider that CHF/USD is not exanchange traded but I still want to deduce it's price. Hence, I create a strategy, starting with 100 CHF. I do the following: 1/ get the option premium P1 of a call on CHF/EUR with strike S1 2/ buy 100/P1 calls with strike S1 3/ calc the NPV of holding these options till maturity. The cashflow per one call is (-P1 + max( S[TTM] - S1, 0 )* discountFactor) where discountFactor si the usual exp(-swissRiskFreeRate * TTM) and S[TTM] can be approximated from forward curves. 4/ Sum up the cashflows for all 100/P1 options bought. Hence I have a cashflows from investing 100 CHF into CHF/EUR options. Now, if I want to invest my 100 CHF into CHF/USD calls and do the same calculations with a unknown premium P2 of the CHF/USD, I end up with the cashflow from investing into CHF/USD options. By equating these two cashflows I can get the theoretical premium P2. And the question is whether this approach to getting the premium P2 is valid. I can't find any bug in it but I would like to know the opinions of others. Any input is much appreciated. Daniel
  2. It seems that the preview link is no longer valid, unfortunately...
  3. Hello andro, just ouf ot curiosity, what libraries do you use?
  4. Hello guys, I was considering learning CUDA for making a backtester of my own making faster, but the problem with GPGPU is that these technologies are greatly hindered by the RAM -> GPU bandwidth. Hence it is benefitial for backtests where a large part of RAM is moved onto the graphics card once, from where the GPUs can perform the whole backtest. However, with today's cards having at max 3GBs of memory, you can't possibly hold more than 1.5 year of tick data for some less liquid instruments (say TF). Backtesting is a sequential event, however not in the sense discussed here. The fact that SMA50 needs to look back 50 periods is valid, however once you precompute the the indicator for the whole investigated period, you can have each core investigate a different period of the market (searching for entries). The same can be applied for exits. However, it is the synchronization of entries and exits on patterns/SL/PT that cannot be done in parallel. So, in my view, GPGPU in backtesting if worth it only if you have enormously complicated entry patterns that take a lot of time to evaluate, where having 3000 cores evaluating entries at every tick is what makes the backtest fast. In any other setup, the power of GPGPU can't be used for quicker backtesting in my view.
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