My project involves creating an excel based Derivative Pricing Calculator and portfolio management tool.
Aside form pricing, i want to be able to create a number of custom portfolios and output graphical representation of the 'greek's, i.e. gamma, vega, theta, delta etc easily copied and pasted into word, powerpoint or to PDF.
- enter any number of individual option/futures legs into a 'trade scratchpad'
- price up the strategy , showing net delta, gamma, vega etc
- user defined graphical representation of that strategy as a 2d or 3d image through time and price axis
Deal Capture/Position Risk Reporting and PnL
- Post trade, confirm by manual input (or csv file?) a database of trades and using Derivative Pricer, show overall portfolio exposure as a 2d or 3d graphical image, with 'greeks'
Experience in financial markets not necessary, but a huge help. Success in this project could lead to a a second project of similar spec for an online environment.
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Hi, may I assume your options are vanillas and the spreadsheet is of RAD type. I have years of experience as quant/trader. No code needed from your end - I have my own libraries.