Optimization of Index and Equity Option Positions in C# - Fluent

Overview: This project will build upon existing infrastructure. We have a fully working options analysis program. The current codebase is .NET / C#. The program is a equity/Index options analysis system. The build out will require the developer to **code and devise custom optimization algorithm** based upon loose business requirements. The optimization involves thousands of combinations and will involve a custom minimization algorithm. ## Deliverables The project will require the minimization of many points on a curve. These are around 20 points, for which there will be multiple variables. The variables consist of profit/loss, yield, delta, and vega. The program will minimize certain values, at certain points, while optimizing other values at other specific points. Skills: The project requires a seasoned C# developer, with MatLab and optimization experience. FLUENT ENGLISH IS ABSOLUTELY REQUIRED. Note: The program will optimize option variables. The scope is limited to 1 full scale optimization. The full scale optimization will optimize for Vega, yield, profitability (P.P.) and delta. It will include 1 optimization button, fields to input, theta, and yield and profitability values. A custom algorithm will be devised by the programmer to minimize and maximize according to the functional requirements. Note: You will have hundreds of initial variables to select from. Further, these initial variables equal billions of possible combinations. Therefore, you will implement a custom solution to solve for the variables entered by the user. I will be attaching the requirements in a moment.