Finally Got Something Going!
This afternoon we finally got something going on the request/response greek engine! I had to add in an IRC interface to the calculations to make it easier to see what's happening and try values - but in the end, that's a great addition to the system. It only took about 15 mins to add, but the effect was amazing. We could now look at the messages coming in, force a calculation on a stock family - or an individual option, and then view the results. Very nice.
The request/response system is working as well. There were a lot of issues about what the values needed to be (see a previous post), and I had to change the SQL to extract the volatility values from the database because no one really checked the values. I know... I should have been more on top of this, but when I ask a grown-up, professional programmer: "Did you write a test case? Is it right?" and I hear "Yes", I tend to believe them.
Not any more. I've become a skeptic. They made me a skeptic.
But in the end, we finally got something going. What a relief!