Performance attribution is discussed in the CFA Portfolio Management curriculum, specifically in Module 2, Section 2: "Active Management and Value Added". Performance attribution is a process used to decompose the "value added," i.e., the excess return relative to a benchmark, into different sources. In the CFA curriculum, a simplified Brinson model is presented, which discusses the basic calculations of … Continue reading Coding towards CFA (36) – Performance Attribution with Brinson Model in DolphinDB and Python →

Delta hedging is an options trading strategy used to maintain a delta neutral position by ensuring that the overall delta of a portfolio is zero, so that the price fluctuations of the underlying asset do not significantly impact the position’s value. Dynamic delta hedging involves continuously adjusting the hedging position to account for changes in … Continue reading Coding towards CFA (16) – Dynamic Delta Hedging with DolphinDB →

In the previous blog post, we explored option Greeks calculations using the BSM model. In this post, I’ll have some coding fun by implementing real-time Greeks calculations with the formulas from the last post, but this time using the DolphinDB stream processing framework. Here, I plan to mimic a portfolio consisting of option contracts with … Continue reading Coding towards CFA (15) – Real-Time Option Greeks Calculation with DolphinDB →