strata on SimianQuant
https://www.simianquant.com/categories/strata/
Recent content in strata on SimianQuantHugo -- gohugo.ioenFri, 11 Oct 2019 00:00:00 +0000Strata Benchmarks #5 - Two Dimensional Interpolation
https://www.simianquant.com/blog/stratabenchinterptwod/
Fri, 11 Oct 2019 00:00:00 +0000https://www.simianquant.com/blog/stratabenchinterptwod/Two dimensional interpolation is a simple and useful approach to model the volatility surface. SimianQuant’s algebraic simplifiers can reduce many classes of two-dimensional interpolators into one dimensional problems. This article compares Strata’s implementation of BiLinear and LinearCubic interpolation against those generated using the SimianQuant library.
This article follows up on the benchmarks for one dimensional interpolation and will reference the results presented there. As in that article, two classes of generated implementations are considered:Strata Benchmarks #4 - One Dimensional Interpolation
https://www.simianquant.com/blog/stratabenchinterponed/
Thu, 10 Oct 2019 00:00:00 +0000https://www.simianquant.com/blog/stratabenchinterponed/One dimensional interpolators are some of the simplest functions implemented by mathematical libraries. This article compares Strata’s implementation of linear and cubic spline interpolation against their equivalents generated using the SimianQuant library.
For an alternate open source reference, benchmarks for implementations provided by Apache Commons Math (ACM) are also included. Two classes of generated implementations are considered:
A Standard Variant, in which the data points are only known at runtime.Strata Benchmarks #3 - SABR Volatility
https://www.simianquant.com/blog/stratabenchsabr/
Mon, 08 Jul 2019 00:00:00 +0000https://www.simianquant.com/blog/stratabenchsabr/The Stochastic Alpha, Beta, Rho (SABR) volatility model is a popular approach to model the volatility smile. This article presents benchmarks of implementations of the asymptotic solution of the model for the volatility and volatility adjoint of a vanilla European option.
Two cases for the parameter $\beta$ are considered:
$\beta = 1$, which is commonly used in foreign exchange markets $\beta = 0.5$, which is commonly used in interest rate markets In each case, the time taken to evaluate the relevant formula provided by Strata’s formula repository was compared with that taken by a numerically equivalent implementation generated using the SimianQuant library.Strata Benchmarks #2 - Black Scholes
https://www.simianquant.com/blog/stratabenchblack/
Wed, 12 Jun 2019 00:00:00 +0000https://www.simianquant.com/blog/stratabenchblack/The Black formula is arguably the most important function in quantitative finance, and is either used directly (for pricing) or indirectly (for quotation), in most pricing calls. This article presents benchmarks for evaluating the formula.
Four cases of evaluating the formula for the price of a vanilla option:
The Spot Price, i.e. the discounted price The Spot Price and Greeks, i.e. the discounted price and all first order sensitivities The Forward Price, i.Strata Benchmarks #1 - Elementary Functions
https://www.simianquant.com/blog/stratabenchelementary/
Thu, 16 May 2019 00:00:00 +0000https://www.simianquant.com/blog/stratabenchelementary/Elementary functions are those that implement basic mathematical operations like exponentiation and logarithms. Swapping out numerically equivalent elementary operations is a cheap and easy way of improving runtime performance. This article presents benchmarks for three important elementary functions.
These benchmarks are useful for anyone deciding whether to import a library with the complexity of Strata into their project, or use something simpler, better documented and better understood like Apache Commons Math (ACM).