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nikol


Total Posts: 803
Joined: Jun 2005
 
Posted: 2019-09-07 08:53
Placeholder for opinions if any.

https://github.com/google/tf-quant-finance


I didnt try yet myself, but for sure will

Strange


Total Posts: 1582
Joined: Jun 2004
 
Posted: 2019-09-07 12:52
It's a noble undertaking.

Personally, I expect it to follow the same path as most open-source finance initiatives. It's gonna lack the actual bits used in practice - e.g. they are have already implemented a binary option as analytical formula which is a waste of time and planning to add Black Scholes for barrier options. It's also likely to be overcomplicated since it's built by engineers as opposed to practicing pricing quants.

This said, I will expect it to have some useful bits of code that I will get to steal.

“My dear, here we must run as fast as we can, just to stay in place. And if you wish to go anywhere you must run twice as fast as that.”

nikol


Total Posts: 803
Joined: Jun 2005
 
Posted: 2019-09-07 15:47
> some useful bits of code that I will get to steal <

It is not stealing actually, but learning the patterns. Coding is full of that.


> binary option as analytical formula <

if NN/AI had personality, it would be offended by this act of cheating...

mtsm


Total Posts: 237
Joined: Dec 2010
 
Posted: 2019-09-07 19:02
Agreed, looks pretty academic to me and geared towards standard optoin pricing models.

What's really needed in the public domain is a good low level fixed income tool kit, which you can then augment with FX and equities stuff and on top of that a properly functionng risk and pnl engine. There is nothing out there, it's such a desolate situation...


Rashomon


Total Posts: 206
Joined: Mar 2011
 
Posted: 2019-09-21 16:04
you know what would be a better option calc for open source? Tell the investor how much money they would make/lose IF their given price prediction came about on the exercise date. In dollars.


All of the PoP, vol, model-heavy stuff can’t be used by a normal investor who is used to long-only equity.
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