BOFFin

Would it be possible to provide a tool to allow the editing of ‘Quant level’ price formulae and then quickly output C++ software, scripted for testing? A generator, to quickly turn pricing models into software for evaluation and change?

Evaluation of different securities pricing models to achieve an understanding of how one might arrive at a security’s price is one thing, but is it possible for one pricing model over and above the next to demonstrate a predictive ability that would give a true insight into how market factors affect price?

How well did a model predict price?

How closely did a model track volatility?

How far are we away from fundamentals and how should we best respect what they say?

Such questions require comparisons against large sets of historical data to arrive at seasonal and market patterns to be exploited, but supported by fundamentals. The perfect price model might track all the variants within a market and predict price and the effects on price from any given quantifiable market situation, but is this a long way from reality – clearly a quantitative analyst needs the ability to quickly evaluate a pricing model with tools that allow him/her to adjust model elements and test software against existing data.

BOFFin was developed to provide such a tool. (B)onds (O)ptions & (F)utures in (Fin)ance.

What else does BOFFin do?

 ...well, its not a charting application but it tries to demonstrate the author's understanding of the arena...

...and what else does BOFFin do... many other formulae are additionally explored and made editable within BOFFin, from approximation formulae, exotics, binomial and Black & Scholes basic and stochastic variants. Heston or Geske & Johnson; the Greeks or perpetual american calls - i'd like to show you what BOFFin can do to help your Quants!

Outputs to C++ Visual Studio .Net, Visual Basic (VB6), Borland C++ Builder, Delphi (Pascal), Native C++ (Win32) syntax.