Homework H22

The Spartan Lives!

Learning Goals

Learning about delta hedging and building an algorithm able to recommend transactions to make a portfolio delta-neutral.

Context

SigmaAndDelta by ChatGPT

“When will it be completed, so that I can demo it to Goldie?”
There is no ambiguity. Stockton is already envisioning himself unveiling Spartan Trader’s new recommendation engine to Ms. Tradewell.
“I will have it done by next Thursday, Boss,” you say “all transactions. All securities.”
Stockton clasps his hands together. He wants an earlier completion. “I am FERVENTLY anticipating it, and I want to help you. I asked one of the data scientists in our Paris office to give a first crack at the scoring rules you begun writing last time we talked. Here. Can you incorporate them in the current build?”
You look at the file. It looks like the full set of scoring rules. "Wow. I need to check it, but with this I can be done by Tuesday."
"MOST AUSPICIOUS TIDINGS! However, appreciate that this was done by a data scientist who does not fully comprehend the subtleties of delta hedging. Ensure you most comprehensively cognize the code she wrote."  Translation: Stockton does not fully trust the data scientist and wants you to study the code and make sure it makes financial sense.
“I am on it, Boss.”

Criteria/Requirements

  • Homework is cumulative
  • Uses your TeamID
  • May or may not have updated volatilities in GetVol (ok to put there slightly incorrect ones to keep your 'real' volatilities secret)
  • Visualizes the recommended transactions, but does not automatically execute them
  • Install the module that Mr. Bond gave you.
  • Go to BETA, and then using the editor give yourself resources (CAccount, other securities, whatever you need) so that out of the 12 visualized recommendations at least three are 'sell', at least three are 'buy', and at least three are ' sellshort'.  The TA must see these transactions when he goes to BETA.
  • Do not modify BETA until this homework has been graded.


Hints and Tips

  • This homework mimics more closely the kind of roles I foresee for you in a Finance+IT analyst role. You might not be asked to build a full robotrader, BUT you might be asked to verify or modify code written by data scientists. The integrated finance and IT knowledge acquired in this course will serve you well.
  • This homework requires DB access (= you may not use the big Shumway lab and most of RRH 300).