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Amarco Pricer

Derivatives pricer framework (indices, equities)

Using the Amarco architecture concepts and leveraging our trading room activity (design & implement indices and equities derivatives pricers), we designed and developed a working high end multithreaded trader pricing framework, optimized for derivatives pricing instruments (indices and / or equities). It can use as user interface any Microsoft facility: WPF, Silverlight, Windows forms or Excel.

Amarco pricer for derivatives - Silverlight interface
Silverlight version
Amarco Pricer - WPF mode
WPF version

Amarco pricer for derivatives - Windows Forms interface
Forms version
Amarco pricer for derivatives - Excel interface
Excel version

 

Amarco pricer architecture

Amarco pricer architecture

This simulates real time data feed through Web services (WCF), replicates the pricing environment feed from back office through another WebService, manages limited computing resources for quants library

  • Multithreaded price calculation for various financial instruments, simulating limited pricing resources and real time display of results as they become available

  • Feed pricing data from a WCF web server simulating the back office, on demand or refresh automatically

  • Real time feed for market bid/ask prices, using an asynchronous WCF Web service to get market prices (simulation). Asynchronous results display.

  • Calculate implied volatility for the market data using current setup of the instruments

  • Multithreaded result display using background workers in the user interface (Excel, Windows forms, Windows WPF)

  • WCF extension to trace input / output XML exchanges

  • Display user information in system tray to avoid trader manual action

Various user interface use the same processing core:

  • Windows forms

  • Excel 2007 VSTO

  • Silverlight

  • WPF

Various animated demos are available, please use the left navigation pane.

Microsoft technology used: Multithreaded Excel 2007, Multithreaded Windows forms, Dotnet C# 3.5, Visual Studio 2008-2010, WCF service extensions, WCF services (client, server), VSTO 3.0, Silverlight, WPF.