Re: [Quantlib-dev] Intraday patch

[Klaus S. <kl...@sp...>]

Hi Joseph

what is the best approach to merge both solutions? I do like your way of 
adding new day counters which can deal with intraday resolution, especially a 
Actual365 day counter, which reflects the opening hours of the exchange is a 
good idea for non-bitcoin stuff.

But the concepts for he Date classes are mutual exclusive.

regards
Klaus   

On Monday, January 05, 2015 10:03:28 AM Joseph Wang wrote:
> 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-da
> > | y-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...