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Articles by AndrewPeters (3 articles found)
Average article rating: 4.08
Articles
Technical Blogs
Tips
Database
General
Sharpe Ratio and Sortino Ratio for a Portfolio in SQL
Last Updated: 23 Apr 2006 Page Views: 23,721 Rating: 3.42/5 Votes: 10 Popularity: 3.42
Bookmark Count: 30
Licence: The Code Project Open License (CPOL)
Calculates Annualized Sharpe Ratio and Sortino Ratio for a Portfolio Trading History in SQL
Algorithms & Recipes
General
Volume Weighted Average Price (VWAP) Algorithm
Last Updated: 11 Jan 2006 Page Views: 50,545 Rating: 4.23/5 Votes: 8 Popularity: 3.82
Bookmark Count: 47
Calculates Volume Weighted Average Price for Financial Time series.
Option Pricing using the Binomial Tree Model in C#
Last Updated: 4 Apr 2006 Page Views: 43,045 Rating: 4.60/5 Votes: 13 Popularity: 5.12
Bookmark Count: 63
Calculates the present value of an American option using the Cox-Ross-Rubenstein binomial tree model.
AndrewPeters
Member
Andrew Peters is a systems developer interested in non-trivial trading systems and financial systems architecture. He is currently focused on realtime, high performance multi-threaded applications running on the server and the desktop.
After a 4 year stint in China learning Mandarin and Tibetan, Andrew returned to the US to learn more about enterprise development and financial markets. While in China, he translated meetings between demure Communist officials and angry American businessmen, served coffee and fetid tofu in his 'BaiSuiFang' Coffee Shop, started
Fabrefactum Software
and was generally laughed at for his stupid jokes in Chinese.
He currently helps the pricing/analytics team hack on code at
Chatham Financial
, an interest rate and foreign exchange derivative consulting company.
Occupation:
Web Developer
Location:
United States
Last Updated 23 Nov 2009
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