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rickyvic


Total Posts: 112
Joined: Jul 2013
 
Posted: 2016-10-12 01:38
Hey guys

I was wondering if anybody tried some pricing/risk libraries as I am trying to get up and running a pricing hedging system for exotic options and structured products.
I am looking at open source maygard, opengamma and quantlib (this one not sure).
Focus is commodities.

I need to link it to matlab which is the main engine used, but that should not be a problem with a bit of man hours. Make it work I am not sure though....

Any opinions? There is an old thread on this topic but I thought to start fresh as things might have changed.

Thanks

"amicus Plato sed magis amica Veritas"

granchio


Total Posts: 1530
Joined: Apr 2004
 
Posted: 2016-10-14 22:17
If you are looking for freeware, then I can't help you - if you are looking to pay, then feel free to email me and we can discuss

"Deserve got nothing to do with it" - Clint

HitmanH


Total Posts: 405
Joined: Apr 2005
 
Posted: 2016-10-15 13:10
When I last looked at OpenGamma - there was a lot I liked - but for structured products and on commodities (and more on the energy, power and gas as opposed to oil / softs etc) - it wasn't great. Lack of understanding of the structure of some of these products. Was a few years ago though...

ComteZero


Total Posts: 523
Joined: Jun 2004
 
Posted: 2016-10-16 11:49
if you are on buy side, I guess your main problem is not the library but the market data.
you have consensus such as Totem (don't know if they're still in biz) but you have to contribute usually.

some providers offer "bundles": you pay for final pricing they take care of lib/data.
we used Pricing partners, and Reech/Sungard.
I also know one Tier 1 bank on EQD that gives to sales an access to Reech in order to challenge known-to-be-honest traders on secondary prices.


/* Trust is good, no trust is better. */

rickyvic


Total Posts: 112
Joined: Jul 2013
 
Posted: 2016-10-17 19:02
@HitmanH Thanks for this, I heard opengamma is now better but it is not free anymore, they have a simpler library open on github but it is not quite like the flagship one.
I think I am gonna have to write some code (and do some research too) as on soft commodities there is not a lot of free stuff.
I am looking at Maygard and quantlib as an alternative right now, to be seen if there is anything meaningful.

@ComteZero thanks for the hints I will keep them in mind
For market data I was thinking of using futures and futures options, since I do not need to price anything too far ahead on the curve I was thinking that would suffice, all contracts have futures as underlying.


"amicus Plato sed magis amica Veritas"
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