Products - Algorithmica Research Ab


Products Algorithmica History Server (AHS) Algorithmica Risk Management System (ARMS) Quantlab	Quantlab 3.0 using Qlang version 3.0 With the release of Qlang v3.0, Quantlab takes a big step in programming flexibility. Qlang is now truly object oriented. Here we have collected a number of mini-samples of what you can do using the new Quantlab 3.0 platform. Running a Monte Carlo simulation using a Quantlab cluster This is an example of how to create a mini-cluster on separate servers/desktop pc:s and then executing a distributed call to them to price an Asian option using Monte-Carlo simulation. Download pdf report here What's an Inter Quantlab Communication(IQC) server? And what is it for? To get some feel for what the IQC can do we will look at two different examples. First we will create a chat room where Quantlab users can send and receive messages to and from a bulletin board. Secondly we will create a market data feed where a market maker can internally distribute some spreads from an illiquid bond pricer. Download pdf report here Model calibration with non-linear solvers - fast and stable In this short document we try to show how to calibrate model parameters for any arbitrary model using the non-linear optimization routines. We take a closer look at Levenberg-Marquardt, Hald, and Nelder-Mead (DHSA). Code examples are all written in Qlang version 3.0 using the new feature - function pointers. Download pdf report here CAPM Black-Litterman and portfolio optimization - a Quantlab implementation Here we show how easy it is to create a simple workspace that implements Harry Markowitz CAPM theory of equilibrium returns together with the Black-Litterman way of combining an investor view to produce well balanced portfolios using classical constrained mean-variance portfolio optimization. Download pdf report here Using a Sobol sequence for Monte Carlo simulation This document will give some guidance on how to use the Sobol sequences in Quantlab 3.0. In particular we will create an example that will price a simple arithmetic average option using a Sobol sequence instead of ordinary random Monte Carlo. The example is very similar to the example “Running a Monte Carlo on Quantlab cluster” found in the same document library. Download pdf report here Yield curve creation in realtime - The Movie This example shows a video on how to create a yield curve that runs in realtime. First we code a generic function that will give the user a choice of yield curve and date to analyze. Then we attach the code to a graph and make the graph a bit more user friendly. (The movie will open in a new window and require a flash player) Open the Yield curve creation movie