Category: Equity

C# / Computation / Equity / Financial / Misc

C# Historical dividend retrieval in Excel

C# Historical Dividend retrieval Today in SmileOfThales we will provide you some brief but useful C# code (the whole code is available at the end of the article)…

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Computation / Derivatives / Equity / Financial / VBA

VBA Break-even volatility skew computation

Break-even Volatility skew In a future article we will introduce a methodology to compute the rolling average correlation smile of an index for a given tenor (say, 3-Month, 1-Year). To do so,…

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C# / Computation / Derivatives / Equity

Multithread pricing with QLNet

This article introduces two ways to perform parallel programming with a pricing library such as QLNet. First we get an idea of the time required to do sequentially a…

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Computation / Derivatives / Equity / Financial / Python

Greeks: option sensitivies, formula proofs and Python scripts – Part 2

Options Greeks Python Vanna

Option greeks: formula proofs and python implementation – Part 2 This documents is the second part of a general overview of vanilla options partial sensitivities (option greeks). In a…

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