Standardized Trades

Tom Hyer
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Tom Hyer: UBS, United Kingdom

Chapter 11 in Derivatives Algorithms:Volume 1: Bones, 2010, pp 209-236 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Trade ClassesCashEquity and FXEquity Forward PayoutEquity IndexEquity Forward DataFX OptionForcing Backward InductionLegs and SwapsPutting it TogetherCapsSwaps and SwaptionsBermudansTwo ViewsCompositesRescaled TradesSums and Collections

Keywords: Derivatives; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Code Generation; Extensibility (search for similar items in EconPapers)
Date: 2010
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