Chris Donnan : Programming - Brooklyn Style

Amazing - SocGen Rogue Trader causes fed rate cuts this week !?0
chrisdrop posted in Finance, trading on January 26th, 2008

So - I posted earlier about the Fed’s shocker cut this week. It turned out to be an amazingly volatile week for the global markets- 1 day in the US - the Dow had a ~600 point swing (that is around the 3rd biggest % swing day ever for the Dow). The Hang Seng was down ~10% one day, up 5%/ 6% on other days. The Stoxx 50 had similar volatility - just huge global markets volatility.
Also Societe Generale Reports EU4.9 Billion Trading Loss.because of a rogue, evil, bad, no-goodnik trader. Shocking in and of itself. This morning I was reading John Mauldin’s weekly markets newsletter. He points over to a Financial Times article “Markets ask if the Fed was duped?”. Essentially - the idea is that - SocGen accounted for some 10% of the market action as it unwound its evil, bad, wrong way trade… thus driving down the global markets.

It is not supposed to be the Fed’s remit to manage the stock market - so there is plenty of criticism of the Fed for seemingly reacting to big down futures prices and downtrending global markets. Via Big Picture or Seeking Alpha - you can see the same article titled “Fed’s Folly: Fooled by Flawed Futures”. It says basically the same stuff - why is the fed reacting to the futures pit? Too bad we did not know Soc Gen was unwinding a mega fraud position. As I put said the other day - so much for the decoupling in global markets.

John Mauldin goes on to say he thinks the Fed believes the bond insurers are in more trouble than most think, etc, etc. Perhaps the Fed move will have helped us or not -either way - it is all amazing stuff. Dram of a global scale.

-Chris

Global Markets - decoupled my @$&@(#1
chrisdrop posted in trading on January 23rd, 2008

I just can’t help but comment on the markets. Today was really an amazing day in the global markets. I went to bed last night and saw the Hang Seng was down some … 7% or 8% - that is steep. I woke up, flipped on the TV for the kids - it was on .. CBS news and they were talking about the ‘destroyed markets in Asia this morning’. Amazing - Asian markets getting crushed - all off by 5-10%. European markets - Stoxx 50, the FTSE - all look like death as well. This was an abnormally bad morning for the world.

As I got to the office - there were several folks on their Bloomberg terms watching the US futures off by some large numbers - the DOW futures were down some 500+ points. There was more chatter than usual - more folks than usual obsessively watching the markets - complaining about trades they made that they were now pissed about, etc.

Then - surprise fed move - cut .75 basis points. Futures flicker and wave, stoxx 50 recovers, markets open. My basic prediction was gap down, trend up day for the US markets - which proved to be the case.

Anyhow - 2 points:

1. The US economy is not in the best of shape. (The rates game has a funny way of devaluing our currency doesn’t it!?!?!)
2. The global markets are really, really, really coupled.

The comments from ‘the market gurus’ of the media and world were of course amusing. “NO big deal” to “the end of the world”.

Anyhow - I just had to comment on the day - it was impressive.

-Chris

PS - Here are a few links - the stuff I read daily regarding the markets:

• Seeking Alpha
• VIX and More
• The Big Picture
• The Money Blogs (warning - some crap here, but also some goodies)
• Of course Bloomberg, Reuters, CNBC

Newsgator RSS aggregator comes in handy

MacBook Air - on the way0
chrisdrop posted in programming, mac on January 22nd, 2008

OK - so I ordered my 1st Mac in some… maybe 12 years?!?
MacBook Air. I figured a few things:

1. It is a 1st generation evolutionary (not revolutionary) bit of hardware. It is very sexy There may be issues with v1 hardware, but on par - it will be a Mac either way - and there is a good shot it will suit my needs well.
2. It is a Mac with just about the same specs as my ThinkPad X60 tablet. I really like my tablet. I really like small and light - a lot.
3. It is Unix   (I have had Linux machines @ home and work for at least the past 5 years).
4. I will re-learn the mac thing and see what all the current hype IN THE DEVELOPER COMMUNITY is about.
5. I will get to see more good UI design standards in practice.

Although I can program java - I am still largely “long Microsoft” personally. Any C\C++ I have done has been on Windows. Lets see what else we have as programming models for desktop applications. (I have done years of web stuff - I am still interested in desktop apps these days). The ‘architecture’ stuff, the people stuff, the agile stuff, etc - these are (thankfully) OS agnostic.

Check it out - it really looks lovely, small, lightweight, flat as can be, cool - really. I am NOT the uber-gadget-geek I once was. I am (trying hard) to generally be frugal. I have a lovely family that I would generally rather invest in - as opposed to my geek gadgets. This is really cool geekery - but it does have a purpose for me. So - kill me for getting a Mac as I have been talking about for a few months now - AND for it being cool, geeky, etc.

There are a TON of folks buying Macs these days. I am on an interesting mailing list with lots of experienced programmers/ agile folks. There are chains going on about whole dev teams ‘going mac’. It would be silly to ignore this. It would sort of be like ignoring the dynamic languages - there are reasons people are changing to Mac. On the server - Linux is there - big time - but it has been so many years and it is still not really on the desktop - except for dopes like me willing to spend hours on end getting drivers running, recompiling stuff you would never really care about as an ‘end user’ of a desktop OS.

Enough blabber. I will check in as my Mac experience begins in a few weeks.

-Chris

More financial products to understand0
chrisdrop posted in Finance, Derivatives on January 20th, 2008

I was having a demo/ discussion with the head of our London index (equity linked products) desk last week. I have effectively been working for some months on a true “cross asset blotter”. While we were talking - there was some talk about using our cross asset blotter as a “poor mans structuring tool”. This is an interesting idea… I like the idea of being able to take a pile of assets in a ‘view’ and assemble them, look at them, etc.

Currently we support vanilla option strategies, variance swaps(here,here). asian and barrier option support is being wrapped up currently (tons and tons of minor concepts like quanto/ composite, etc). Some of the other products that this particular trader brought up got me to poking around trying to learn about them:

• Range accrual products - I like this 1 line explanation : “A Range Accrual Note gets a payoff for every day that some underlying is within the specified range”. Also see: here, here, here
• Dividend swaps (div swap - here, @ wilmott, also @ wilmott )
• PV Products (not sure what he is exactly talking about here)
• Swaps - (I know the basics of swaps already, more can of course not hurt)
• Options on varswaps (interesting ‘what if’ chat here on wilmott forums, risk latte’s take)

Moreover -I am interested more and more in variance swaps, options on variance swaps and other volatility of volatility type products.The migration from exotic to vanilla
I am always curious to see what is “structured” or “exotic” today - and what will next be “flow” or “vanilla” for our desks/ the street. There is a continual flow of structured/ exotic derivatives that have higher margin/ profit potential - since people have no good model to price them. From there - people figure out how to price them - the margins shrink - volumes pick up, bang! - commoditized products!

Derivatives - those happy, explosive financial toys oh how we love em’! (too bad we keep exploding them every few years - hello CDO/ MBS death the banks are enduring!!!).

-Chris

Compilation vs. Interpretation for Ruby in VMs0
chrisdrop posted in programming on January 2nd, 2008

In an earlier post I was talking about JRuby and IronRuby a bit. One of my thoughts was that we need to be able to run these Ruby-(or insert language here)-in-a-VM either interpreted - or to compile them.

JRuby compilation 

JRuby has AOT (ahead of time) compilation as of 1.1 which is in beta currently. I am not sure when it is ‘due’ but it seems like it will not be too far off. This way - if you want to make a jar out of some jruby files - you should be good to go.

.Net Ruby compilation

..is a bit more complicated. There are currently 2 Rubies for .net - the Ruby.net (formerly Gardens point) compiler - that is a compiler for ruby - it takes .rb files - and turns them into an assembly. On the other hand - you have the IronRuby implementation being atop the DLR (dynamic language runtime - Microsoft.scripting runtime). IronRuby - as I can see it - is meant to run interpreted - through the DLR.

Neither IronRuby nor Ruby.net is not nearly as together as JRuby. Semantics for implementing interfaces are not there in Ruby.net, property style set/get is ugly (set_PropertyName is how it looks in the Ruby.net usage). You cannot use ‘classic ruby style naming (vs pascal naming that is prevelant in .net).

Here is a recent post ref’d off the Ruby.net mail group comparing IronRuby and Ruby.net.

Anyhow - there is my current update. Microsoft seems to have done something really good with WPF - the rest of the world seems to be doing better in just about every other area. Vista seems to be an embarrassment… Ugh for MS.

-Chris

Happy New Year!0
chrisdrop posted in programming on January 1st, 2008