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HP Forum Archive 18

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accuracy benchmarks for financial calculations
Message #1 Posted by Kim Hansen on 15 Jan 2009, 2:48 p.m.

Greetings!

I am a developer for the iPhone and have been working with Roy Martin (father of the top row keys for the 92 and 12--he is very much alive and kicking!) to rewrite financial algorithms specifically for the iPhone platform. Bring the legacy of the 12 into the present day if you will.

I would like to be able to run Roy's new algorithms against industry accuracy benchmarks but do not know if there are such things, and if they exist where I might be able to find them. Any hints?

Thanks, and I do hope this isn't off topic--my goal is to extend the voyagers and keep them relevant.

Kim

      
Re: accuracy benchmarks for financial calculations
Message #2 Posted by Allen on 15 Jan 2009, 8:52 p.m.,
in response to message #1 by Kim Hansen

Greetings, I don't have an i-anything or an HP 92, but I do have more 12Cs than I care to admit. I'm a little confused about the question.

IMHO The accuracy of a modern-day calculator should be limited by the hardware, not the algorithm implementation.

      
Re: accuracy benchmarks for financial calculations
Message #3 Posted by Egan Ford on 15 Jan 2009, 9:20 p.m.,
in response to message #1 by Kim Hansen

Quote:
Bring the legacy of the 12 into the present day if you will.

...

my goal is to extend the voyagers and keep them relevant.


The 11C, 12C, 15C, and 16C using the original ROMs is already available on the iPhone. There are a number of Voyager simulators as well (i.e. not using the ROMs).

What does extend the voyagers exactly?

Thanks and good luck.

            
Re: accuracy benchmarks for financial calculations
Message #4 Posted by Allen on 15 Jan 2009, 10:02 p.m.,
in response to message #3 by Egan Ford

I've heard alot more chatter recently about the $$ millions that IPhone developers have been making for stupid programs like the iFart Mobile.

So I think some enterprising programmers have now become motivated and are looking to drum up a market (that has already been filled somewhat by competent enthusiasts) among the Voyager (12c) users.

Quote:
I would like to be able to run Roy's new algorithms against industry accuracy benchmarks but do not know if there are such things, and if they exist where I might be able to find them.

Yes, perhaps you can buy a 12c and compare it. They are available on Amazon.com or several other online auction sites.

-edited to add source for 12c

Edited: 15 Jan 2009, 10:06 p.m.

                  
Re: accuracy benchmarks for financial calculations
Message #5 Posted by Reth on 16 Jan 2009, 12:31 a.m.,
in response to message #4 by Allen

:) that one is actually the best seller among all iPhone applications!
Cheers
Reth

            
Re: accuracy benchmarks for financial calculations
Message #6 Posted by Kim Hansen on 16 Jan 2009, 10:36 a.m.,
in response to message #3 by Egan Ford

Thanks all!

By "extend the Voyager", I mean to take what was done well (nearly everything considering the time) and augment that with modern day accoutrements. For instance, I was always frustrated with cash flow entry and how difficult it was to make sure your entries were accurate... the touchscreen allowed me to incorporate an additional ability to view and edit the cash flow sin the same format as the cash flow diagram. Another example is Roy figured out how to make an amortization table that sums the interest and principal columns correctly (new algorithm). My product includes the original HP technique with rounding errors, but also allows you to email a schedule that uses Roy's new technique, a schedule that is Excel compatible and the periodic interest and principal are calculated so that the total interest paid plus the total principal paid adds up to the amount you paid over the life of the mortgage. As near as I can tell, this is unique and solves a problem for the loan industry that has bothered them for 70 years.

And another really really nice thing is that the new hardware platform allows me to perform the calculations at much higher precision and do so blindlingly fast... IRR runs in the blink of an eye instead of 30 seconds. Much of this is due to the faster hardware, but it is also due to Roy's reworking of the algorithms. But in any event it allows you to retain your 12C capabilities (plus bonuses) without having to actually pack it around.

Back to the question though... I have a 12C and have used it extensively as "truth" and to make sure my product operates in the same way but what I'm looking for is a source of problems that when run, will stress financial algorithms and point out areas where the algorithms are weak. An example comes from calculus, where an insanely large number of payments (1e81) and an equally small interest rate (1e-79) should take a present value of 1 to a future value of (approximately) e. Not a real problem in the finance world but one that verifies the quality of the underlying mathematics.

In the archives there was a brief reference to such a set of problems but the link was dead, I was just wondering if anyone was aware if such a collection might be resurrected.

Thanks, and I do appreciate the good wishes. As an Engineer, I wanted to do a 41C but the cxp is so well done that I concentrated on the 12.

                  
Re: accuracy benchmarks for financial calculations
Message #7 Posted by PeterP on 16 Jan 2009, 11:22 a.m.,
in response to message #6 by Kim Hansen

There are a few options that one could add to the 12c on the iPhone that would make it useful as a tool in finance.

  1. Black Scholes calculator (inclusive of implied Vol)
  2. Implied Yield Calc (Spotprice, enter, points, enter, date or duration, g 'ImpliedYield'
  3. MV optimization and related functions that allow easy enter & display of a Covariance matrix. And transformation of covariance matrix and correlation matrix via vols
  4. (inverse) (normal) distribution functions to answer quwestions like - whats the 5% loss on a normal distribution with mean 12% and STDEV 18%? Whats the 1% loss on a distribution with mean 12%, STDEV 18%, SKEW of 1 and Kurtosis of 100? How often should we see a 9% up day on the S&P assuming a normal distribution with mean of 12% and STDEV of 20%?
  5. Generate print-outs from results that can be emailed (similarly to the i41cx). However, the main problem for the usefulness of this on the 12c is its lack of memory for meaningful curve plot programs as well as alpha capabilities for labeling of even simple numbers.

Personally, I think that all of these things will be hard to push on the 12c as it is not the naturally platform. I would think that many/all of the above are realatively easily programmed/done on an 15c (and definitely on the i41cx) But then I am biased...

On a different subject - it would be an interesting extension to the i41cx to make a link to Bloomberg Prices (there is a really good Bloomberg application for the iPhone) that allows to e.g. load prices into regs, run regressions on prices. Basically a 'plug in module' that brings in some Bloomberg functions similar to the Excel API to the i41cx. This would allow to follow some arbitrage prices on the go (Put call parity on your HP stock holding), update your 'forecaster module' with newer regression information and other fun things to further drive out the ugly blackberry and replace it with style and elegance.

Cheers

Peter

Edited: 16 Jan 2009, 11:24 a.m.


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