Re: [Quantlib-dev] Intraday patch

[Joseph W. <joe...@gm...>]

I think that both patches would work for different use cases.

My patch was specifically focused on dealing with bitcoin derivatives,
so it intentionally works as only a UTC timestamp without any
additional timezone data.  Also bitcoin does everything on a per day
basis, which means that I had to create a new day counter.

One thing that I've seen done which would require some more
sophistication in the Date class is to have special tags for "start of
day" and "end of day".

Also there is massively interesting quant work to be done with bitcoin futures.

1) there are two types of futures on bitmex.  One is quanto style.
The other is inverse style.  Details on the each type are on their
site, but there appears to be a convexity adjustment between the two.

2) counterparty risk modelling - The Chinese exchanges have something
called "loss socialization".  This is a situation in which they mess
up margining, the exchange ends up with a loss, which they "socialize"
against the people that made money.  Modelling this is quite
interesting.  One thing that is particularly interesting is that
counterparty risk does not affect price.  It does affect volume in a
big way.  The Chinese exchanges are very liquid with short dated
futures, but volume goes down dramatically for long dated futures.

3) general trading issues - This is where derivatives pricing meets
trading.  Derivative pricing has traditionally not involved many
issues of flow trading.  However, with bitcoin futures, you end up
having to deal with things like bid-ask spreads.

4) Bootstrapping an IR curve - You can think of bitcoin futures as an
interest rate product, which means that the only way you get a term
structure curve with bitcoin is through the futures market.  There is
now enough data to start modelling that curve.  In particular, the low
end of that curve is fixed by the BFX swap markets.



On Mon, Jan 5, 2015 at 6:36 AM, Dirk Eddelbuettel <ed...@de...> wrote:
>
> Klaus,
>
> On 4 January 2015 at 22:58, Klaus Spanderen wrote:
> | Hi Joe,
> |
> | I was struggling with the same problem of intraday pricing a while ago. I've
> | now found  the time to bundle my solution into a patch.
> |
> | In short, I've added intraday resolution directly to QuantLib's Date class
> | using boost::posix_time::ptime while keeping the existing interfaces and
> | behavior the same. The test suite runs unchanged with the new Date class. If
> | you are interest then please find more details
> |
> | https://hpcquantlib.wordpress.com/2015/01/04/intraday-high-resolution-day-counters/
>
> This sounds excellent, and reads very well. Wonderful news!
>
> That said, I don't mean to take away from Joe's work which I meant to look at
> but had not found time to actually do so. Being backwards compatible could
> well be the key feature here.
>
> Exciting times ahead, along with Peter's AD magic...
>
> Dirk
>
> --
> http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...