Index

A

• algorithmic trading
  • about / Introduction to algorithmic trading
  • trading platforms, with public API / List of trading platforms with public API
  • programming languages, selecting / Which is the best programming language to use?
  • system functionalities / System functionalities
• algorithmic trading, with Interactive Brokers' and IbPy
  • Interactive Brokers Trader Workstation, obtaining / Getting Interactive Brokers' Trader WorkStation
• algorithmic trading, with Interactive Brokers and IbPy
  • about / Algorithmic trading with Interactive Brokers and IbPy
  • IB API wrapper, obtaining / Getting IbPy – the IB API wrapper
  • simple order routing mechanism / A simple order routing mechanism
• algorithms, using in backtesting
  • about / Discussion of algorithms in backtesting
  • k-means clustering algorithm / K-means clustering
  • k-nearest neighbor (KNN) / K-nearest neighbor machine learning algorithm
  • classification and regression tree (CART) analysis / Classification and regression tree analysis
  • 2k factorial design / The 2k factorial design
  • genetic algorithm / The genetic algorithm
• American options
  • about / Introduction to options
• American options pricing, with finite differences
  • about / American options pricing with finite differences
  • FDCnAm class, writing / Writing the FDCnAm class
• Anaconda by Continuum Analytics
  • URL / Which Python version should I use?
• Arbitrage Pricing Theory (APT) model
  • about / The Arbitrage Pricing Theory model
• at-the-money options (ATM)
  • about / The implied volatility model

B

• backtest
  • about / An introduction to backtesting
• Backtester class
  • about / The Backtester class
  • start_backtest method / The Backtester class
  • match_order_book method / The Backtester class
  • is_order_unmatched method / The Backtester class
• backtesting
  • about / An introduction to backtesting
  • concerns / Concerns in backtesting
  • event-driven backtesting system / Concept of an event-driven backtesting system
  • algorithms / Discussion of algorithms in backtesting
• backtesting model
  • considerations / Ten considerations for a backtesting model
• backtesting system
  • designing / Designing and implementing a backtesting system
  • implementing / Designing and implementing a backtesting system
  • TickData class / The TickData class
  • MarketData class / The MarketData class
  • MarketDataSource class / The MarketDataSource class
  • Order class / The Order class
  • Position class / The Position class
  • Strategy class / The Strategy class
  • MeanRevertingStrategy class / The MeanRevertingStrategy class
  • Backtester class / The Backtester class
  • running / Running our backtesting system
  • improving / Improving your backtesting system
• beta
  • about / The capital asset pricing model and the security market line
• big data
  • about / Introducing big data
  • users / Is big data for me?
• Binary JSON (BSON) / Getting a collection
• BinomialEuropeanOption class
  • writing / Writing the BinomialEuropeanOption class
• binomial options pricing model
  • about / Binomial trees in options pricing
  • pricing European options / Pricing European options, Are these formulas relevant to stocks? What about futures?
  • StockOption class, writing / Writing the StockOption class
  • BinomialEuropeanOption class, writing / Writing the BinomialEuropeanOption class
  • pricing American options, with BinomialTreeOption class / Pricing American options with the BinomialTreeOption class
• bisection method
  • about / The bisection method
• Black-Scholes model COM server
  • building / Building the Black-Scholes model COM server
• Black-Scholes Partial Differential Equation (PDE) / Finite differences in options pricing
• bond convexity
  • about / Bond convexity
  • implementing / Bond convexity
• bond duration
  • about / Bond duration
  • calculating / Bond duration
• bond options
  • about / Bond options
  • callable bonds / Callable bonds
  • puttable bonds / Puttable bonds
  • convertible bonds / Convertible bonds
  • preferred stocks / Preferred stocks
• bond price
  • calculating / Calculating the price of a bond
• Brennan and Schwartz model
  • about / The Brennan and Schwartz model
• Brent's method / Combining root-finding methods

C

• callable bond pricing
  • about / Pricing a callable bond option
  • early exercise values / Value of early-exercise
  • policy iteration, by finite differences / Policy iteration by finite differences
  • considerations / Other considerations in callable bond pricing
• callable bonds
  • about / Callable bonds
• call option
  • about / Introduction to options
• Canopy by Enthought
  • URL / Which Python version should I use?
• capital market line (CML)
  • about / The capital asset pricing model and the security market line
• CAPM
  • about / The capital asset pricing model and the security market line
  • risk premium / The capital asset pricing model and the security market line
  • visual representation / The capital asset pricing model and the security market line
  • efficient frontier / The capital asset pricing model and the security market line
  • market portfolio / The capital asset pricing model and the security market line
  • capital market line (CML) / The capital asset pricing model and the security market line
  • security market line (SML) / The capital asset pricing model and the security market line
• cells, IPython Notebook
  • about / Notebook cells
  • code cell / Code cell
  • Markdown cells / Markdown cell
  • raw NBConvert cell / Raw NBConvert cell
  • heading cell / Heading cells
• check_exercise() method / Policy iteration by finite differences
• Chicago Board of Trade (CBOT) / Introduction to algorithmic trading
• Cholesky decomposition
  • about / The Cholesky decomposition
  • verifying / The Cholesky decomposition
• classification and regression tree (CART) analysis
  • about / Classification and regression tree analysis
• Cloudera
  • URL, for downloading QuickStart VMs / Getting a QuickStart VM from Cloudera
  • QuickStart VM, obtaining from / Getting a QuickStart VM from Cloudera
• Cloudera VM
  • running, on VirtualBox / Running Cloudera VM on VirtualBox
• collection
  • obtaining / Getting a collection
  • document, inserting in / Inserting a document
  • single document, fetching in / Fetching a single document
  • documents, deleting in / Deleting documents
  • documents, counting in / Counting documents in the collection
  • documents, finding in / Finding documents
  • documents, sorting in / Sorting documents
• COM
  • overview / Overview of COM
  • working with / What else can I do with COM?
• COM client, in Excel
  • building / Building the COM client in Excel
  • VBA code, setting up / Setting up the VBA code
  • cells, setting up / Setting up the cells
• COM server
  • building / Building a COM server
  • prerequisites / Prerequisites
  • pythoncom module, obtaining / Getting the pythoncom module
  • Black-Scholes model COM server, building / Building the Black-Scholes model COM server
  • registering / Registering and unregistering the COM server
  • unregistering / Registering and unregistering the COM server
  • Cox-Ross-Rubinstein binomial tree model COM server, building / Building the Cox-Ross-Rubinstein binomial tree model COM server
  • trinomial lattice model COM server, building / Building the trinomial lattice model COM server
• considerations, backtesting model
  • resources restricting / Resources restricting your model
  • criteria of evaluation / Criteria of evaluation of the model
  • backtest parameters quality, estimating / Estimating the quality of backtest parameters
  • model risk / Be prepared to face model risk
  • backtest performance, with in-sample data / Performance of a backtest with in-sample data
  • common pitfalls, addressing / Addressing common pitfalls in backtesting
  • common sense idea / Have a common sense idea of your model
  • context / Understanding the context for the model
  • data, ensuring / Make sure you have the right data
  • results / Data mine your results
• convertible bonds
  • about / Convertible bonds
• correlation, between SX5E and V2TX
  • about / Correlation between SX5E and V2TX
• Cox-Ingersoll-Ross (CIR) model
  • about / The Cox-Ingersoll-Ross model
• Cox-Ross-Rubinstein (CRR) model
  • about / The Cox-Ross-Rubinstein model
  • BinomialCRROption class, writing / Writing the BinomialCRROption class
• Cox-Ross-Rubinstein binomial tree model COM server
  • building / Building the Cox-Ross-Rubinstein binomial tree model COM server
• Crank-Nicolson method
  • about / The Crank-Nicolson method
  • FDCnEu class, writing / Writing the FDCnEu class
• cumulative
  • about / Preferred stocks

D

• data
  • merging / Merging the data
• database
  • obtaining / Getting a database
• DataFrame object / Gathering the EUROX STOXX 50 Index and VSTOXX data
• direct market access (DMA) / Introduction to algorithmic trading
• document
  • inserting, in collection / Inserting a document
  • deleting, in collection / Deleting documents
  • batch inserting, in collection / Batch-inserting documents
  • counting, in collection / Counting documents in the collection
  • finding, in collection / Finding documents
  • sorting, in collection / Sorting documents
• Document Component Object Model (DCOM) / Overview of COM
• Dow Jones Industrial Average / STOXX and the Eurex

E

• efficient frontier
  • about / The capital asset pricing model and the security market line
• Eurex Exchange
  • about / STOXX and the Eurex
• European options
  • about / Introduction to options
• EURO STOXX 50 Index
  • about / The EURO STOXX 50 Index
• EUROX STOXX 50 Index and VSTOXX data
  • gathering / Gathering the EUROX STOXX 50 Index and VSTOXX data
• event-driven backtesting system
  • about / Concept of an event-driven backtesting system
• Excel
  • for finance / Excel for finance
• exercise_call_price() method / Policy iteration by finite differences
• exotic barrier options
  • pricing / Pricing exotic barrier options
  • down-and-out option / A down-and-out option
  • FDCnDo class, writing / Writing the FDCnDo class
• explicit method
  • about / The explicit method
  • FiniteDifferences class, writing / Writing the FiniteDifferences class
  • FDExplicitEu class, writing / Writing the FDExplicitEu class

F

• financial analytics, of SX5E and V2TX
  • about / Financial analytics of SX5E and V2TX
• Financial Information Exchange (FIX) protocol / Introduction to algorithmic trading
• finite differences, in options pricing
  • about / Finite differences in options pricing
  • explicit method / The explicit method
  • implicit method / The implicit method
  • Crank-Nicolson method / The Crank-Nicolson method
  • exotic barrier options, pricing / Pricing exotic barrier options
  • American options pricing / American options pricing with finite differences
• fixed income securities
  • about / Fixed-income securities
• forex trading, with OANDA API
  • about / Forex trading with OANDA API
  • REST / What is REST?
  • OANDA account, setting up / Setting up an OANDA account
  • API, exploring / Exploring the API
  • oandapy, obtaining / Getting oandapy – the OANDA REST API wrapper
  • rates data, obtaining / Getting and parsing rates data
  • rates data, parsing / Getting and parsing rates data
  • order, sending / Sending an order
• forward rates
  • about / Forward rates
• functional approach
  • about / The functional approach

G

• Gauss-Seidel method
  • about / The Gauss-Seidel method
• general nonlinear solvers, SciPy
  • about / General nonlinear solvers
• genetic algorithm (GA)
  • about / The genetic algorithm
• get_implied_volatilities public function
  • about / Implied volatilities of AAPL American put option
• get_zero_rates function
  • about / Bootstrapping a yield curve
• global optimal solution
  • about / Outcomes of linear programs
• gnuplot package
  • about / A wealth of standard libraries
• Greeks, for options
  • about / The Greeks for free
  • BinomialLRWithGreeks class, writing / Writing the BinomialLRWithGreeks class

H

• Hadoop
  • URL, for official page / Getting Apache Hadoop
  • obtaining / Getting Apache Hadoop
  • word count program / A word count program in Hadoop
  • MapReduce, running on / Running MapReduce on Hadoop
• Hadoop, for big data
  • about / Hadoop for big data
  • HDFS / HDFS
  • YARN / YARN
  • MapReduce / MapReduce
• Hadoop, for finance
  • about / Going deeper – Hadoop for finance
  • IBM stock prices, obtaining from Yahoo! Finance / Obtaining IBM stock prices from Yahoo! Finance
  • map program, modifying / Modifying the map program
  • map program, testing with IBM stock prices / Testing our map program with IBM stock prices
  • MapReduce, running for counting intraday price changes / Running MapReduce to count intraday price changes
  • analysis, performing on MapReduce results / Performing analysis on our MapReduce results
• HDFS
  • about / HDFS
  • browsing, Hue used / Hue for browsing HDFS
• high-frequency trading (HFT) / Introduction to algorithmic trading
• historical daily data, STOXX Europe 600
  • URL / Gathering the EUROX STOXX 50 Index and VSTOXX data
• historical daily end-of-day index prices, STOXX
  • URL / Gathering the EUROX STOXX 50 Index and VSTOXX data
• historical daily prices, stock counter
  • reference link / Obtaining IBM stock prices from Yahoo! Finance
• Hue
  • used, for browsing HDFS / Hue for browsing HDFS

I

• IB API wrapper
  • URL / Getting IbPy – the IB API wrapper
• IbPy
  • about / Getting IbPy – the IB API wrapper
  • URL / Getting IbPy – the IB API wrapper
• implicit method
  • about / The implicit method
  • FDImplicitEu class, writing / Writing the FDImplicitEu class
• implied volatilities, of AAPL American put option
  • about / Implied volatilities of AAPL American put option
• implied volatility model
  • about / The implied volatility model
  • deep in-the-money (ITM) / The implied volatility model
  • out-of-the-money (OTM) options / The implied volatility model
  • at-the-money (ATM) options / The implied volatility model
• implied volatility modeling
  • about / Putting it all together – implied volatility modeling
• in-the-money options (ITM)
  • about / The implied volatility model
• incremental search
  • about / Incremental search
  • performing / Incremental search
• infeasible
  • about / Outcomes of linear programs
• integer programming
  • about / Integer programming
  • IP model example, with binary conditions / An example of an integer programming model with binary conditions
  • different approach, with binary conditions / A different approach with binary conditions
• Interactive Brokers (IB) / Algorithmic trading with Interactive Brokers and IbPy
  • URL / Getting Interactive Brokers' Trader WorkStation
• IPython
  • about / Introducing IPython
  • obtaining / Getting IPython
  • URL / Getting IPython
  • download link / Getting IPython
  • pip tool, using / Using pip
• IPython Notebook
  • about / The IPython Notebook
  • documents / Notebook documents
  • running / Running the IPython Notebook
  • dashboard / Running the IPython Notebook
  • notebook, creating / Creating a new notebook
  • cells / Notebook cells
  • exercises / Simple exercises with IPython Notebook
  • for finance / Notebook for finance
• iterate() method / Policy iteration by finite differences

J

• Jacobi method
  • about / The Jacobi method
• JavaScript Object Notation (JSON) parser
  • about / What is REST?

K

• 2k factorial design
  • about / The 2k factorial design
• k-means clustering algorithm
  • about / K-means clustering
• k-nearest neighbor (KNN)
  • about / K-nearest neighbor machine learning algorithm

L

• LaTeX
  • about / Inserting equations
• lattices, in options pricing
  • about / Lattices in options pricing
  • binomial lattice, using / Using a binomial lattice
  • BinomialCRROption class, writing / Writing the BinomialCRROption class
  • trinomial lattice, using / Using the trinomial lattice
• Leisen-Reimer (LR) tree
  • using / Using a Leisen-Reimer tree
  • about / Using a Leisen-Reimer tree
  • BinomialLROption class, writing / Writing the BinomialLROption class
• lib.display module
  • about / Inserting YouTube videos
• linear equations
  • solving, matrices used / Solving linear equations using matrices
• linear integer programming (IP)
  • about / Integer programming
• linear optimization
  • about / Linear optimization
  • simple linear optimization problem / A simple linear optimization problem
  • outcomes / Outcomes of linear programs
  • integer programming / Integer programming
• London International Financial Futures and Options Exchange (LIFFE) / Introduction to algorithmic trading
• longer-term spot rates
  • about / Bootstrapping a yield curve
• LpVariable function
  • about / A simple linear optimization problem
• LU decomposition
  • about / The LU decomposition
  • advantage / The LU decomposition
• lxml Python module
  • URL / Implementation of the VSTOXX sub-index value

M

• Mac OS X
  • MongoDB, running from / Running MongoDB from Mac OS X
• map function
  • about / MapReduce
• MapReduce
  • about / MapReduce
  • running, on Hadoop / Running MapReduce on Hadoop
• MarketData class
  • about / The MarketData class
• MarketDataSource class
  • about / The MarketDataSource class
• market portfolio
  • about / The capital asset pricing model and the security market line
• Markov regime-switching model
  • about / The Markov regime-switching model
  • example / The Markov regime-switching model
• MathJax
  • about / Inserting equations
• mean-reverting algorithmic trading system
  • building / Building a mean-reverting algorithmic trading system
  • main program, setting up / Setting up the main program
  • events, handling / Handling events
  • mean-reverting algorithm, implementing / Implementing the mean-reverting algorithm
  • positions, tracking / Tracking our positions
• MeanRevertingStrategy class
  • about / The MeanRevertingStrategy class
  • event_position method / The MeanRevertingStrategy class
  • event_tick method / The MeanRevertingStrategy class
  • calculate_z_score method / The MeanRevertingStrategy class
• MongoDB
  • about / Getting MongoDB
  • URL, for official site / Getting MongoDB
  • URL, for downloading / Getting MongoDB
  • data directory, creating / Creating the data directory and running MongoDB
  • running / Creating the data directory and running MongoDB
  • running, from Windows / Running MongoDB from Windows
  • running, from Mac OS X / Running MongoDB from Mac OS X
  • URL, for documentation / Running MongoDB from Mac OS X
• multivariate linear regression
  • performing, on APT model / The Arbitrage Pricing Theory model
• multivariate linear regression, of factor models
  • about / Multivariate linear regression of factor models

N

• Newton's method
  • about / Newton's method
• Newton-Raphson method / Newton's method
• Newtons method
  • implementing / Newton's method
• nonlinearity modeling
  • about / Nonlinearity modeling
• nonlinear models
  • about / Examples of nonlinear models
  • implied volatility model / The implied volatility model
  • Markov regime-switching model / The Markov regime-switching model
  • threshold autoregressive model / The threshold autoregressive model
  • smooth transition models / Smooth transition models
• NoSQL
  • about / Introducing NoSQL
• notebook
  • creating, with heading and Markdown cells / Creating a notebook with heading and Markdown cells
  • saving / Saving notebooks
  • mathematical calculation, performing / Mathematical operations in cells
  • graphs, displaying / Displaying graphs
  • equations, inserting / Inserting equations
  • images, displaying / Displaying images
  • YouTube videos, inserting / Inserting YouTube videos
  • HTML, working with / Working with HTML
  • pandas DataFrame object, as HTML table / The pandas DataFrame object as an HTML table

O

• OANDA
  • about / Setting up an OANDA account
  • URL / Setting up an OANDA account
  • sign-up link / Setting up an OANDA account
• OANDA account
  • setting up / Setting up an OANDA account
• oandapy
  • URL / Getting oandapy – the OANDA REST API wrapper
• OANDA REST API wrapper
  • about / Getting oandapy – the OANDA REST API wrapper
• objected-oriented approach
  • about / The object-oriented approach
• objected-oriented programming
  • versus functional programming / Objected-oriented versus functional programming
• OESX data
  • URL / Getting the OESX data
• omega
  • about / Writing the FDCnAm class
• option
  • about / Introduction to options
• OptionUtility classes
  • VSTOXXCalculator / Implementation of the VSTOXX sub-index value
  • EurexWebPage / Implementation of the VSTOXX sub-index value
  • VSTOXXSubIndex / Implementation of the VSTOXX sub-index value
  • source code / Implementation of the VSTOXX sub-index value
• Order class
  • about / The Order class
• out-of-the-money options (OTM)
  • about / The implied volatility model

P

• pandas
  • about / Is Python for me?
• pip tool
  • about / Using pip
  • URL / Using pip
• plain text UTF-8 file
  • reference link / Downloading sample data
• Position class
  • about / The Position class
• preferred stocks
  • about / Preferred stocks
• PuLP
  • obtaining / Getting PuLP
  • URL / Getting PuLP
• put option
  • about / Introduction to options
• puttable bonds
  • about / Puttable bonds
• PyMongo
  • obtaining / Getting PyMongo
  • URL, for official page / Getting PyMongo
• Python
  • uses / Is Python for me?
  • open source / Free and open source
  • features / Free and open source, High-level, powerful, and flexible
  • standard libraries / A wealth of standard libraries
  • versions / Which Python version should I use?
  • URL / Which Python version should I use?
• pywin32
  • URL / Getting the pythoncom module

Q

• QR decomposition
  • about / The QR decomposition
  • orthogonal matrix / The QR decomposition
  • solving, with other matrix algebra methods / Solving with other matrix algebra methods
  • Jacobi method, implementing / The Jacobi method
  • Gauss-Seidel method, implementing / The Gauss-Seidel method
• QuickStart VM
  • obtaining, from Cloudera / Getting a QuickStart VM from Cloudera

R

• reduce function
  • about / MapReduce
• Rendleman and Bartter model
  • about / The Rendleman and Bartter model
• Representational State Transfer
  • REST / What is REST?
• REST
  • about / What is REST?
• root-finding
  • about / An introduction to root-finding
  • example / An introduction to root-finding
  • using / An introduction to root-finding
• root-finding methods
  • combining / Combining root-finding methods
• Root-finding scalar functions, SciPy
  • about / Root-finding scalar functions

S

• scipy.optimize methods
  • about / SciPy implementations
• scipy.optimize modules
  • about / Root-finding scalar functions
• SciPy implementations
  • about / SciPy implementations
  • root-finding scalar functions / Root-finding scalar functions
  • general nonlinear solvers / General nonlinear solvers
• secant method
  • about / The secant method
• security market line (SML)
  • about / The capital asset pricing model and the security market line
• SETAR model
  • about / The threshold autoregressive model
• short-rate modeling
  • about / Short-rate modeling
  • Vasicek model / The Vasicek model
  • Cox-Ingersoll-Ross (CIR) model / The Cox-Ingersoll-Ross model
  • Rendleman and Bartter model / The Rendleman and Bartter model
  • Brennan and Schwartz model / The Brennan and Schwartz model
• short-term spot rates
  • about / Bootstrapping a yield curve
• simple linear optimization problem
  • about / A simple linear optimization problem
• simple order routing mechanism
  • about / A simple order routing mechanism
• single document
  • fetching, in collection / Fetching a single document
• smooth transition models
  • about / Smooth transition models
• spot rates
  • about / Spot and zero rates
• statsmodels
  • URL / Multivariate linear regression of factor models
• StockOption class
  • writing / Writing the StockOption class
• STOXX Europe 600 data file
  • definitions / Gathering the EUROX STOXX 50 Index and VSTOXX data
• STOXX website
  • URL / Formulas to calculate the VSTOXX sub-index
• Strategy class
  • about / The Strategy class
• SX5E and V2TX / Financial analytics of SX5E and V2TX
  • financial analytics / Financial analytics of SX5E and V2TX
  • correlation / Correlation between SX5E and V2TX
• system functionalities, algorithmic trading
  • about / System functionalities

T

• test connection
  • running / Running a test connection
• TeX
  • about / Inserting equations
• threshold autoregressive (TAR) model
  • about / The threshold autoregressive model
• TickData class
  • about / The TickData class
• Tkinter
  • about / A wealth of standard libraries
• Trader WorkStation X (TWS)
  • about / Getting Interactive Brokers' Trader WorkStation
  • installing / Getting Interactive Brokers' Trader WorkStation
• trend-following forex trading platform
  • building / Building a trend-following forex trading platform
  • main program, setting up / Setting up the main program
  • events, handling / Handling events
  • trend-following algorithm, implementing / Implementing the trend-following algorithm
  • positions, tracking / Tracking our positions
• tridiagonal_solve() method / Policy iteration by finite differences
• trinomial lattice
  • about / Using the trinomial lattice
  • using / Using the trinomial lattice
  • TrinomialLattice class, writing / Writing the TrinomialLattice class
• trinomial lattice model COM server
  • building / Building the trinomial lattice model COM server
• trinomial trees, in options pricing
  • about / Trinomial trees in options pricing
  • TrinomialTreeOption class, writing / Writing the TrinomialTreeOption class

U

• unbounded
  • about / Outcomes of linear programs

V

• VaR, for risk management
  • about / VaR for risk management
• Vasicek model
  • about / The Vasicek model
• vasicek_czcb_values() method / Policy iteration by finite differences
• vasicek_diagonals() method / Policy iteration by finite differences
• vasicek_limits() method / Policy iteration by finite differences
• vasicek_params() method / Policy iteration by finite differences
• vasicek_policy_diagonals() method / Policy iteration by finite differences
• VirtualBox
  • about / Getting VirtualBox
  • URL, for downloading / Getting VirtualBox
  • Cloudera VM, running on / Running Cloudera VM on VirtualBox
• VIX
  • about / The VIX
• volatility derivatives
  • about / Volatility derivatives
  • STOXX / STOXX and the Eurex
  • Eurex Exchange / STOXX and the Eurex
  • EURO STOXX 50 Index / The EURO STOXX 50 Index
  • VSTOXX / The VSTOXX
  • VIX / The VIX
• VSTOXX
  • about / The VSTOXX
• VSTOXX data file
  • definitions / Gathering the EUROX STOXX 50 Index and VSTOXX data
• VSTOXX historical daily data
  • URL / Gathering the EUROX STOXX 50 Index and VSTOXX data
• VSTOXX main index
  • calculating / Calculating the VSTOXX main index
• VSTOXX sub-indices
  • calculating / Calculating the VSTOXX sub-indices
  • OESX data, obtaining / Getting the OESX data
  • formulas, for calculating / Formulas to calculate the VSTOXX sub-index
  • value, implementing / Implementation of the VSTOXX sub-index value
  • results, analyzing / Analyzing the results

W

• Wijngaarden-Dekker-Brent method / Combining root-finding methods
• Windows
  • MongoDB, running from / Running MongoDB from Windows
• word count program, Hadoop
  • about / A word count program in Hadoop
  • sample data, downloading / Downloading sample data
  • map program, running in Python / The map program
  • reduce program, creating / The reduce program
  • scripts, testing / Testing our scripts

Y

• YARN
  • about / YARN
• yield curve
  • about / Yield curves
  • bootstrapping / Bootstrapping a yield curve
• yield to maturity (YTM)
  • about / Calculating the yield to maturity
  • calculating / Calculating the yield to maturity

Z

• zero-coupon bond
  • about / Valuing a zero-coupon bond
  • valuing / Valuing a zero-coupon bond
  • spot rates / Spot and zero rates
  • zero rates / Spot and zero rates
  • pricing, by Vasicek model / Pricing a zero-coupon bond by the Vasicek model
• zero rates
  • about / Spot and zero rates