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Questions tagged [computational-finance]

Use this tag for questions related to Computational Finance, a branch of applied computer science that deals with problems of practical interest in finance.

Some slightly different definitions are the study of data and algorithms currently used in finance and the mathematics of computer programs that realize financial models or systems.

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Setting variables to Interactive Brokers API responses in Python

I have some code where I request real time market data for a futures contract using the Interactive Brokers API and Python, in this case a VIX contract. I receive back a stream of data that prints via the patched up wrappers. This is using the…
Jeremy
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Coding iterator function for STL Class

I am working through some C++ code from "Financial Instrument Pricing Using C++" - a book on option pricing using C++. Following code is a small snippet stripped of many details which basically attempts to define a SimplePropertySet class that is…
Tryer
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Daily yield to maturity using uniroot

So, I'm trying to compute the daily yielt to maturity on basis of data retrieved from Datastream. The data comprises EMU Treasury bonds with Prices, Coupon and Maturity date. In R the matrices are constructed that daily all prices, coupons and…
Joe.Dillen
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Cryptic TypeError: 'decimal.Decimal' object cannot be interpreted as an integer

I am struggling to understand why this function apparently fails in the Jupyter Notebook, but not in the IPython shell: def present_value( r, n, fv = None, pmt = None ): ''' Function to compute the Present Value based on interest rate and …
AKKA
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R: Durbin Watson test with NA result

I am trying to gauge the correlation between the historic of a stock price and an index using the Durbin Watson test in R. This is what I have done so far: data <- read.xlsx("data.xlsx", colNames = TRUE, detectDates = TRUE) data head(data) data$X1…
Alejandro Jiménez Rico
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How to get company website from a finance ticker (stock symbol)?

I know how to get the stock symbols, the company names, and statistics using the API and services such as yahoo finance. However, I would like to obtain the company's official website from a ticker symbol. Would there be an API or a service that…
3xCh1_23
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Cannot figure out Reduce and Monte Carlo Simulations in R, calculating VaR

Apologies for the title. I could not think of how to title this... (Also, I know this is probably a shite question, but hoping someone out there can help.) I have the following mean vector and covariance matrix: > mu0 MSFT AAPL…
lukehawk
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Data parallelism in Storm

I have read about the Apache storm and did some basic tutorials. I have following topology in mind that I would like to implement with storm, but not sure how to handle the data distribution. Business requirement is to evaluate customers portfolio…
Alex Michel
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spread betting platform, where to start?

I wish to develop a simple spread betting platform for my masters degree,the trouble is there is not a lot of material on the internet. Can someone please point me in the right direction? For example do I need to create an account with a broker?…
godzilla
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The logic behind a Early Mortgage Payoff Calculator?

I've been looking around for a Mortgage Payoff calculator and it looks like the ones that are available are primarily commercial. Does anyone know if it already exists somewhere in script form that could be translated into another language? If…
Rob
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Calculate the annual cash flows given a target NPV (net present value)

I am building a model that compares scenario 'A' with scenario 'B' by setting the NPV of 'B' equal to NPV of 'A'. I have a series of cash flows in 'A' and calculated the NPV as follows: Therefore, NPV of A = $130.04 I am now attempting to…
ClaireLandis
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Translating circular reference from VBA to C# for Loan+Interest Capitalization formula

I am trying to convert VBA from an Excel Macro to C# to calculate a total loan amount where interest and a facility fee are capitalized to the loan balance, which then in turn means a higher interest and fee amount being capitalized as the loan…
CM25
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