Update Model Parameters
Setting Month Theo Settings
Various theoretical model settings can be set using the SetMonthTheoSettings message.
GetMonthTheoSettings
The GetMonthTheoSettings message can be used to retrieve the current settings per month.
Syntax
GetMonthTheoSettings <Instrument Month ID>
Example
GetMonthTheoSettings 7805006
MonthTheoSettings 7805006 1.0 0.0 0.0 0.001 0.0026 0.33 100.0 75.0 0.25
SetMonthTheoSettings
The SetMonthTheoSettings can be used to set the following theoretical settings per month; Volatility Multiplier, Expiration Day Offset, Linked Vol Offset, Strike Offset, Interest Rate, Carry Cost,Alpha, Max Future Price, Min Future Price & Underlying Offset
Syntax
SetMonthTheoSettings <Instrument Month ID> <Volatility Multiplier> <Expiration Day Offset> <Linked Vol Offset> <Strike Offest> <Interest Rate> <Carry Cost> <Alpha> <Max Future Price> <Min Future Price> <Underlying Offset>
Example
SetMonthTheoSettings 2563099 1.0 0.0 0.0 0.0 0.0052 0.0 0.1 105.0 98.0 0.001
MonthTheoSettings 2563099 1.0 0.0 0.0 0.0 0.0052 0.0 0.1 105.0 98.0 0.001
MonthTheoSettings
MonthTheoSettings is returned when any setting is updated
Syntax
MonthTheoSettings <Instrument Month ID> <Volatility Multiplier> <Expiration Day Offset> <Linked Vol Offset> <Strike Offset> <Interest Rate> <Carry Cost> <Alpha> <Max Future Price> <Min Future Price> <Underlying Offset>
Example
MonthTheoSettings 2563099 1.0 0.0 0.0 0.0 0.0052 0.0 0.1 105.0 98.0 0.001
Setting Interest Rate and Carry
The SetModelParameters message enables the client to set both the interest rate and the carry cost.
Syntax
SetModelParameters <InstrumentMonthID> <InterestRate> <CarryCost>
Example
SetModelParameters 2563099 .02 1.23
MonthTheoSettings 2563099 1.0 0.0 0.0 0.02 0.0 0.1 105.0 98.0 0.001
MonthTheoSettings 2563099 1.0 0.0 0.0 0.02 1.23 0.1 105.0 98.0 0.001
When changing both rate and carry in the same message, multiple MonthTheoSettings will be returned.
Modify Volatility Multiplier, Expiration Offset & Linked Offset
The SetTheoCenterSettings messages enables Subways users to modify the Volatility Multiplier, Expiration Offset and Linked Offset per InstrumentMonth.
Syntax
SetTheoCenterSettings <InstrumentMonthID> <VolatilityMultiplier> <ExpirationOffset> <LinkedOffset>
Example
SetTheoCenterSettings 2563099 2.5 -2 0
MonthTheoSettings 2563099 2.5 -2.0 0.0 0.02 1.23 0.1 105.0 98.0 0.001