Note: You must have experience with MATLAB, or Mathematica. If you do not meet these requisites do not bid.
The project is the real-time optimization of an options portfolio. The project will require the minimization, maximization, and constraint or 'best compromise' of thousands of data points. The variables consist of profit/loss, yield, delta, and vega. The program will minimize certain values, at certain points, while optimizing other values at other specific points. There will be anywhere from 30,000 points to upward of 1,000,000+ points. The project requires a seasoned parallel computing developer with MatLab, Mathematica and optimization experience.
The program will optimize option [url removed, login to view] full scale optimization will optimize for Vega, yield, profitability (P.P.) and delta. It will include 1 optimization button, fields to input, theta, and yield and profitability values. A custom algorithm will be devised by the programmer to minimize and maximize according to the functional requirements. Further, these initial variables equal billions of possible combinations. Therefore, you will implement a custom solution to solve for the variables entered by the user by utilizing parallel computing.
Another issue is the optimization needs to be relatively quick (< 2 minutes) since we are trading on real-time options data.