Visualizing Volatility Sensitivity in Delta hedged gains with TI Nspire

The TI Nspire calculator is a great platform for visualizing data via interactive graphs. The built-in facility like input slider for variable value adjustment allowed dynamic visualization to complex equations, like the volatility sensitivity in delta-hedged gains used financial investment. Since this strategy involved a single call option, the volatility exposure equals the vega value of the option.

The following setup on the Nspire provided the functions to calculate the vega values.

This spreadsheet input screen stores the spot prices and the calculated Black Scholes vega values.

Finally, with the data plotting screen the graph of Delta hedged gains of volatility sensitivity is completed. An additional slider control can easily be added on it to adjust an offset variable so as to visualize scenarios under different spot price.


Movidius compute stick on Raspberry Pi

The Movidius compute stick is supported on the Raspberry Pi 3 Model B platform. This is almost like a dream deployment for low power consumption applications. The overall dimension of Movidius with Raspi in their original configuration might not fit into some commonly available IP56 waterproof enclosures but with some ultra short extension cables and converters, packing them insides and even with a lithium battery pack should be easy.


Classic Linear Programming in Microsoft Solver Foundation for Excel

The Supply Chain optimization is a classic sample in linear programming. The Microsoft Solver Foundation comes with an example on solving this problem in Excel.

The data are categorized and neatly listed out in one worksheet, while the Model pane provided interface for constraints settings. Unlike in the standard Excel Solver, the modelling is a bit more complex, but the interface helped by providing an organized and consistent user interface in Excel.


Microsoft Solver Foundation for Excel

The Microsoft Solver Foundation (MSF) provides a rich set of optimization library and a modelling framework, all in an easy to use GUI through Excel. To make it developer friendly, MSF made available its library through API implemented in several programming languages.

Using MSF in Excel is very straight forward, thanks to its well designed user interface. For example, in the classic shipping optimization example, the model inputs are grouped in parameters, constraints, and goals, and are presented in side tabs.


Comparison of Microsoft Solver Foundation and the built-in Excel solver can be found in a previous installment.