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](ImgAmPricer/AmPricer200.JPG) |
![Amarco Pricer - WPF mode](ImgAmPricer/AmarcoPricerWpf1-200.JPG) |
Silverlight version |
WPF
version |
![Amarco pricer for derivatives - Windows Forms interface](ImgAmPricer/AmPricerFormsRT200.JPG) |
![Amarco pricer for derivatives - Excel interface](ImgAmPricer/AmPricerXL200.JPG) |
Forms version |
Excel version |
Amarco pricer architecture
![Amarco pricer architecture](ImgAmPricer/AmarcoPricer_diag1En.jpg)
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
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Multithreaded price calculation for various financial
instruments, simulating limited pricing resources and real time
display of results as they become available
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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
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Multithreaded result display using background workers in the
user interface (Excel, Windows forms, Windows WPF)
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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
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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.
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