Project outline

This project use FsLab template to document various topics related to quantitative finance with a focus on commodities markets. The resulting website avaialbe here: https://xqguo.github.io

Programming setup

• Learn FSharp basics.

• Get a free environment

  • Azure notebook
  • Install .net core SDK and a IDE or editor
    • VS Community for ease of use and windows environment
    • or Install VSCode for cross platform
    • Vim + VimSharp plugin for cross platform use minimal resources

• Contribute to open source project

  • a commodity pricing library CommodQuant, with its azure devops pipeline project
  • Here is the documentation to azure devops pipeline
  • here is the azure pipeline yaml source code

Understand the markets

• Intro to Money market

• CME

• ICE

  • Brent future is a benchmark price for global oil.
  • Brent Futures Option is the option on the brent future.

• LME

• Fed

  • The Fed publish selected rates, including the fed funds rate here

Understand the Quantitative finance

• Notes for Intro to Derivative Pricing and source
• Swap price
• Asian option