
Re: App of the month: Monte Carlo Simulation
Advait Thakur Apr 3, 2013 1:10 AM (in response to Paul Van Siclen )Hello Paul,
Nice to hear about simulations inside Qlikview, also the implications in the analytics space are covered well.
Is Monte Carlo simulation like SAP ERP Simulation which has been developed by Baton !!
Thanks
Advait

Re: App of the month: Monte Carlo Simulation
Moritz Michalke Apr 3, 2013 3:37 AM (in response to Paul Van Siclen )Great demo App !
Thanks for sharing, Paul !

Re: App of the month: Monte Carlo Simulation
Rodrigo Faus May 23, 2014 4:18 PM (in response to Paul Van Siclen )Hi Paul,
Do you know if I can use QlikView in order to calculate some Greek Letters of a portfolio? Like the Deta, Gamma,Vega, Rho of na option:
Thanks,
Rodrigo

Re: Re: App of the month: Monte Carlo Simulation
Stuart Ward Jun 2, 2014 3:32 AM (in response to Rodrigo Faus)Hi Rodrigo,
I knocked up a quick app (attached) to demonstrate the option pricing functionality in Qlik. Please observe the following assumptions
 Black Scholes formula used, which is limited to european options, not paying dividends
 for all greeks ( i havent included second order greeks (like Gamma), I have implemented a shift variable).
 To calculate each greek, I then use a standard blackscholes option price, and that with shift applied. The difference will be the sensitivity to the underlying price input, or greek, if we want to scare people off with some nice jargon
 to take this example and extend to the portfolio, you would need to perform the caulculations as attached, for each instrument, then multiply by the position (number of the instrument held).
 The portfolio greek then will be a sum of the positions.
I hope this helps.

Greeks.qvw 138.2 K

Re: Re: App of the month: Monte Carlo Simulation
Rodrigo Faus Jun 2, 2014 8:53 AM (in response to Stuart Ward)Hi Stuart,
First off all, thanks for the help.I really appreciated. Just few questions and concern:
 Can I also use the Black Scholes model in order to calculate the value of an American non dividends option? I guess the model is really close for both.
 What do you mean by the shift applied? Can I just use the others instruments?
 Have you tried to comercialize a app that shows the historical value of a portfolio (with different assets), possibles investment in options, strategies (straddle, strangle, bull spread...) and risk analysis?
Thanks once again.
Rodrigo

Re: App of the month: Monte Carlo Simulation
Stuart Ward Jun 2, 2014 10:34 AM (in response to Rodrigo Faus)Hi Rod,
 Can I also use the Black Scholes model in order to calculate the value of an American non dividends option?
 Answer: The black Scholes model works only for european options as it only allows for exercise of the option. The binomial model is the only true way to value american options. The price differenences will be pronounced for puts with high risk free rate, where binomial model will correctly value the early exercise premium.
 What do you mean by the shift applied? Can I just use the others instruments?
 Answer: rather than work out actual greeks, which measure sensitivity of moves in pricing inputs, the shift is used to price once with basline and one with shift appiled to variable in question. The difference between the two will show the sensitivity.
I've created a new dashboard, this time calculating greeks via formulae: Option Price Calculator
 Have you tried to comercialize a app that shows the historical value of a portfolio (with different assets), possibles investment in options, strategies (straddle, strangle, bull spread...) and risk analysis?
 Answer: I was just playing with the blackscholes function. Actually I see differences in derived theoretical price and the Qlik provided BlackScholes function. See my post: Option Price Calculator for details.
I hope this helps
Cheers
Stu

Re: App of the month: Monte Carlo Simulation
Rodrigo Faus Jun 2, 2014 4:34 PM (in response to Stuart Ward)Hi Stuart,
Thanks once again for the help. What is the difference between the derived call (put) price and BlackandScholes function call (put)
Thanks,
Rodrigo

Re: App of the month: Monte Carlo Simulation
Stuart Ward Jun 24, 2014 10:29 AM (in response to Rodrigo Faus)
Hi Rod,Im not certain whats causing the difference in results. Both take the same inputs. Does anyone know how to explore builtin functions to examine their logic?
Im confident on the accuracy. You can verify by comparing against any of the free options pricing sites around. Here is one Option Price Calculator
Cheers,
Stu

Re: App of the month: Monte Carlo Simulation
Rodrigo Faus Jun 25, 2014 10:45 AM (in response to Stuart Ward)Stuart
Your formula is correct and the difference from QlikView BlackScholes is insignificant. Probably just an approximation. Have you tried to programmer QlikView to measure and graph "Custom Portfolio" or "Option Combinatio"? Like the one that you posted. I guess its an interesting App.
Thanks once again for the help.
Rodrigo







Re: Re: App of the month: Monte Carlo Simulation
Rodrigo Faus Jul 17, 2014 8:56 AM (in response to Paul Van Siclen )Hi Everyone,
Is is possible to calculate the EWMA (Exponentially Weighted Moving Average) with QlikView?
Thanks,
Rodrigo

Re: App of the month: Monte Carlo Simulation
Paul Van Siclen Jul 21, 2014 8:56 AM (in response to Rodrigo Faus)Hello Rodrigo,
I don't see a specific function for EWMA in the QlikView functions library but this is a formula so it could be created in an object (which would result in the ability to dynamically calculate on the fly) or in the script as the data is loaded.
Have you tried either of these options?
PVS

Re: App of the month: Monte Carlo Simulation
Rodrigo Faus Jul 21, 2014 9:29 AM (in response to Paul Van Siclen )Hi Paul,
I am trying to create the variable EWMA as an object but I am struggling with the summation and exponential part of the formula.
Thanks,
Rodrigo Faus

