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