afoster28 opt_portfolio_variance issues

afoster28 / opt_portfolio_variance

Option portfolio variance in CPP

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Create separate test program that calculates a matrix with % differences based on generated output result_matrix.csv and relevant table in output_small.txt

#23 afoster28 closed 7 months ago
12
Dynamic maturity date in sampling

#22 afoster28 closed 7 months ago
0
Add reset feature clear portfolio and go to starting prompt asking for csv file

#21 afoster28 closed 7 months ago
1
Prompt the user at the start of the program to specify the name of the csv file to be used

#20 afoster28 closed 7 months ago
0
Before every option, ask user if proceed with next option in csv or enter manually

#19 afoster28 closed 7 months ago
0
Introduce a user-defined variance cutoff and stop the program after an option that breaches the cutoff

#18 afoster28 closed 7 months ago
0
Print first row filled with zeroes before any option gets processed

#17 afoster28 closed 7 months ago
0
Sampling from distribution

#16 afoster28 closed 7 months ago
1
Input

#15 afoster28 closed 7 months ago
0
Sequencing

#14 afoster28 closed 7 months ago
4
Variance of portfolio payout distribution

#13 afoster28 closed 7 months ago
0
Sum weighted payouts (weight: multiplication of volume) per scenario -> portfolio payout distribution

#12 afoster28 closed 7 months ago
0
Compute payoff of each option -> payout distribution (no. opt x no. sim)

#11 afoster28 closed 7 months ago
0
Underlying Price (random sample)

#10 afoster28 closed 7 months ago
0
Sample from lognormal distribution

#9 afoster28 closed 7 months ago
0
Modify input routine

#8 afoster28 closed 7 months ago
0
Portfolio variance fix

#7 afoster28 closed 7 months ago
2
Refine input

#6 afoster28 closed 8 months ago
3
Purchase sequencing

#5 afoster28 closed 7 months ago
0
Portfolio payout variance

#4 afoster28 closed 7 months ago
1
Enhance pricer

#3 afoster28 closed 8 months ago
0
Option pricer

#2 afoster28 closed 8 months ago
0
Set up and describe outline of project

#1 afoster28 closed 9 months ago
0