- Joined
- 9/29/08
- Messages
- 2
- Points
- 11
Hello,
I am hooking up to the VB.NET API through Interactive Brokers. I am working on writing certain values, (such as volatility etc.), to file so that I can pass it through GARCH in Matlab. The problem that I am hung up a bit at is how to use, (or whether or not to use), the CRR Tree to somehow graph out optimal buying/selling strategies for options, (so I can buy 2, sell 3, then buy 1, depending on what the tree looks like and what parameters I set).
So in theory I would pass the greeks in to the Garch for a specific option calculation and then write the output values to file. I would do this for a bunch of some index's options and then figure out the optimal path for buying options, (the buy a certain 2, then sell 1 etc. etc.).
Does anyone have a better idea on how to do something like this? As I mentioned before, I don't know much about trading, (I am coding this for someone else), but do have a good intuition. I however am trying not to re-invent the wheel but am unsure if this is even the best way to go about the coding, (especially using the CRRTree). Are there better options, (no pun intended), for coding this? Or perhaps some pre-built .m files that would help me on my way? I do have Matlab's Financial Toolbox.
Thank you,
Brian
I am hooking up to the VB.NET API through Interactive Brokers. I am working on writing certain values, (such as volatility etc.), to file so that I can pass it through GARCH in Matlab. The problem that I am hung up a bit at is how to use, (or whether or not to use), the CRR Tree to somehow graph out optimal buying/selling strategies for options, (so I can buy 2, sell 3, then buy 1, depending on what the tree looks like and what parameters I set).
So in theory I would pass the greeks in to the Garch for a specific option calculation and then write the output values to file. I would do this for a bunch of some index's options and then figure out the optimal path for buying options, (the buy a certain 2, then sell 1 etc. etc.).
Does anyone have a better idea on how to do something like this? As I mentioned before, I don't know much about trading, (I am coding this for someone else), but do have a good intuition. I however am trying not to re-invent the wheel but am unsure if this is even the best way to go about the coding, (especially using the CRRTree). Are there better options, (no pun intended), for coding this? Or perhaps some pre-built .m files that would help me on my way? I do have Matlab's Financial Toolbox.
Thank you,
Brian
