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From Matthieu Morel <>
Subject Re: s4 financial analytics examples.
Date Wed, 20 Jun 2012 17:10:56 GMT
On 6/20/12 3:12 PM, Shailendra Mishra wrote:
> Leo, Matthieu:
> I have been working on some examples in the financial world and have
> some non-trivial stuff running on S4. Let me know if you want these
> examples to be made available in s4:
> 1) Computes 10 sec. weighted univariate stats on financial feed data.
> 2) Compute financial option pricing using about 1/2 dozen methods
> 3) Compute bond pricing, yield etc, using quantitative models
> 4) Discrete hedging example on financial calls and puts
> 5) Another way of evaluating financial options.
> The data associated with 2), 3) 4) and 5) is fabricated but 1) has
> some reasonable data behind it. Also, 2 - 5 need the
> jquantlib-0.2.4.jar, 1) needs apache commons

This looks brilliant!

And it would be very nice indeed to have some examples like that with S4.

If you'd like to get them integrated in the codebase, as examples or 
contributions, the best way would be to generate a git patch, and 
provide some documentation (doesn't have to be a lot, but at least how 
to run the examples, and maybe pointers to the algorithms or techniques 
that you implemented). Of course we can help if you have any issue there!



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