Spartan Trader 9

Computing recommendations: the Smart Hedger

The Smart Hedger is an algorithm that generates trading recommendations based on the Black-Scholes delta hedging method, as well as several additional metrics (e.g., margins, available cash, quality of the available derivatives, etc.). The smart hedger scores all feasible alternative actions and determines the best course of action for each portfolio family.

As before, this homework is cumulative.  Feel free to personalize.

This vLab shows a demo and comments extensively on the code.  To help you with the typing, I provide here about half of the code.