Introduction

The code is written for Microsoft and Morgan Stanley Finance Parallel Computing Contest.

Implement of Options includes Asian Options, Lookback Options, Barrier Options etc.

For more information: http://www.hpc-in-finance.com/

Options

Options provide endless possibilities in risk-reward profiles for financial investors. One catgeory of options creates payouts that depend on the evolution of the underlying price over the course of the option lifecycle. The valuation of such options tend to be complex and require the simulation of the underlying behvaior over time. MPI and grid computing is one approach used to solve the valuation of path-dependent options, in particular when evolution of the underlying can be broken down into independent paths and computed in parallel. This contest aims to give contestants a chance to tackle the challenges of path-dependent options using Microsoft Windows HPC Server 2008 R2 on the Dawning 5000A at Shanghai Supercomputer Center.

Challenge

A client entrusts you with one million dollars in cash and you are mandated to invest the cash in a selection of european-style financial options that will expire in exactly one year. Due to transaction costs, you are permitted to invest in a maximum of TWO of these options, and you need to hold the options to maturity. If you choose to invest in two options, you are free to allocate your funds in any proportion between the two options. You must not retain any cash in your portfolio.Your profit (or loss) from your holdings will be determined by the expected payout of your selected options on expiration date, minus premium paid. At 9:00 a.m. each morning during the competition (from October 24 to October 28), we will supply five years-worth of historical market data for the financial instruments underlying the options you can invest in. These historical data are extracted from the markets and provided by our partner Wind. However, the symbol of each financial instrument will be masked and replaced with fictitious names. The market data will be in CSV format. The option types you need to evaluate each day will include one or more of the following: - Asian option - Knock-in options - Knock-out options - Look-back options We will specify a strike price and premium for each option, and you will need to determine a fair value for the option in order to determine which option(s) would provide the best returns for your portfolio.

Submission

You need to submit your investment decision before 9:00 p.m. on the same day. Your results should be in CSV format similar to the example below. Date, TeamName, Product, Option Fair Value, Investment 24/10/2011, TeamX, Product A, 9.43, 400000 24/10/2011, TeamX, Product B, 12.18, 600000 In addition to your specific portfolio allocation decision, you will also need to submit calculation parameters such as number of paths and steps, as well as artifacts from your calculation process, such as log files and intermediate results generated.

Results

We will publish your expected loss/profit, as well as the methodology used in our evaluation, on the contest forum by 9:00 a.m. the next morning. To qualify for the three sponsor awards, your total expected PnL across the entire competition needs to be within the top quartile (25%) of competitors. Requirements All computation needs to be performed using Microsoft Windows HPC Server 2008 R2 on the Dawning 5000A at Shanghai Supercomputer Center.