AppFabric 1.1 host WCF multi-binding and Json Data

We can configure WCF services with Multiple EndPoints. To return Json, the following steps are needed:

(1) Change OperationContract using WebGet, Json and UriTemplate  --- note that input can only be string
        [WebGet(ResponseFormat=WebMessageFormat.Json, UriTemplate="Data/{value}")]
        [OperationContract]
        List GetData(string value);

(2) App.Config ==> Edit WCF config ==> Add webHttpBinding with Binding Behavior wedHttp
    <services>
      <service name="WcfServiceLibrary1.Service1">
        ...
   
        <endpoint address="jsonTest" behaviorConfiguration="NewBehavior0"
          binding="webHttpBinding" bindingConfiguration="" contract="WcfServiceLibrary1.IService1" />
      ...
    <behaviors>
      <endpointBehaviors>
        <behavior name="NewBehavior0">
          <webHttp />
        </behavior>
      </endpointBehaviors>

(3) Publish to AppFabric Site/App considering the following details:
     (3.1) Make sure WebDeploy (MSDeploy,VS2010SP1) update installed so that AppFabric has deploy menu and VS2010 WCF App has Package/publish tab
     (3.2) Note that We are using WCF Lib not app so publish to AppFabric rather than using package.
     (3.3) Edit binding to default WebSite to have net.tcp binding infor 808:* and net.pipe etc and create an App "mb" with "http,net.tcp,net.pipe"
           as enabled protocols.
     (3.4) Browse the app to get base address like http://localhost/mb/WcfServiceLibrary1.Service1.svc
           test http://[baseAddress]/jsonTest/Data/0 should get to Json Data (save to disk)
     (3.5) make sure net.tcp port and address match 808:* and uses App "mb" and use a WPF client to add Service Reference for testing. and we should
           see client config has all protocols.

Style Trigger and DataTrigger

To style a simple Lisbox, we can trigger change of property by either looking at other property or data loaded


       <Style TargetType="{x:Type ListBoxItem}" >
            <Style.Triggers>
                <Trigger Property="IsSelected" Value="true">
                    <Setter Property="Foreground" Value="Red" />
                </Trigger>
                <DataTrigger Binding="{Binding Path=Name}" Value="User 3">
                    <Setter Property="BorderBrush" Value="Black" />
                    <Setter Property="BorderThickness" Value="1" />
           ...
             list.Add(new User(){ Name="User 1"});
            list.Add(new User() { Name = "User 2" });
         
            listBox1.ItemsSource = list;

VaR $ = P/L

WPF 3 D Coordinate System with A Camera: Example

Then we can map 2D Texture to 3D using MeshGeometry3D

       <Viewport3D>
            <Viewport3D.Camera>
                <PerspectiveCamera Position="-20,46,0" UpDirection="0,0,1" LookDirection="4,-10,0" NearPlaneDistance="0"/>
            ......
                    <GeometryModel3D.Geometry>
                      <MeshGeometry3D  Positions="-10,-10,-10  10,-10,-10  10,10,-10  -10,10,-10  -10,-10,10  -10,10,10"
                          TriangleIndices="0 2 3  0 1 2   0 4 3  4 5 3" 
                               TextureCoordinates="0,0  0,1  1,1  1,0" />

Robust Optimization Through SOCP Duality

Future Pricing and MR factor model

MATLAB code

[hist_date, hist_high, hist_low, hist_open, hist_close, hist_vol] =get_hist_stock_data('SPX','2006');
Data=hist_close;
[n,nn] = size(Data);

R_dollar=hist_close(2:end)-hist_close(1:end-1);
R_pct=R_dollar./hist_close(1:end-1);

[b_int,nn,nn,nn,stats] = regress(R_pct,[ones(n-1,1),Data(1:(n-1),1)]); 

intercept = b_int(1);
slope = b_int(2);
if (slope > 0)
    error('Cannot use geometric mean reversion: pct chg=k*(mu-s)+sigma*dW requiring k>0)');
end

sigma = sqrt(stats(4));
k = -slope; 
mu = -intercept/slope;


days=20;
dT = 1; 

St=zeros(days,1);
St(1)=hist_close(end);

for i=1:1:days
    St(i+1)=St(i)+(k*(mu-St(i))+sigma*normrnd(0,1))*St(i);
end 

% future price dS/S = dLn(F(t))/dt *dt + signma*dW or
%              Ft-1=Ft*exp(-dS/S+signma*dW)
Ft=zeros(days,1);
Ft(end)=St(end);  
for i=days:-1:2
    chg =(St(i+1)-St(i))/St(i);
    Ft(i-1)=Ft(i)*exp(-chg+sigma*normrnd(0,1));
end 

f1=figure(1);
set(f1,'name','%-Return Mean Reversion Factor Model');
p=plot(0:days,St);
set(p,'color','red');
hold on;
p=plot(1:days,Ft);
hold off;

Interest Rate Swap Valuation