Theoretical Model
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      3. Theoretical Model

      Update Model Parameters

      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