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From Leo Neumeyer <leoneume...@gmail.com>
Subject Re: s4 financial analytics examples.
Date Wed, 20 Jun 2012 17:58:02 GMT
Thank you Shailendra! Would love to see the examples.

-leo

On Wed, Jun 20, 2012 at 10:10 AM, Matthieu Morel <mmorel@apache.org> wrote:

> 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!
>
>
> Thanks!
>
> Matthieu
>



-- 

Leo Neumeyer (@leoneu)

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