Architecture Series, Part 1: Architecture Matters
Risk magazine recently ran an interesting article. To extract a few choice phrases: Before, analysts could be abstract, and mathematical ability was prized; now they have to be pragmatic, and computer...
View ArticleArchitecture Series, Part 2: Which Language?
This series addresses issues specific to domain of financial derivative valuation and risk measurement. However, before leaping into the domain itself, I'd like to cover some considerations of tools,...
View ArticleArchitecture Series, Part 3: Objects Need Names
In my previous post, I said that C++, as a language choice for the implementation of an analytics library, is effectively mandated by the industry's expectations of high performance. In reality,...
View ArticleArchitecture Series, Part 4: Scaling for performance
Supercomputers today don't have fast processors, they have many processors. Any modern high-performance system must address the problem of distributing its calculations over multiple cores within a...
View ArticleArchitecture Series, Part 5: The call function function
In an earlier post in this series, I listed a few problems which go with the territory of building cross-platform object-oriented libraries in general, and some with C++ in particular. Here they are...
View ArticleArchitecture Series, Part 6: Challenges met
In my last post I described an XML-in XML-out API with just one function in it, called call_function. I also gave a list of engineering challenges that need to be met if we are to leverage the full...
View ArticleArchitecture Series, Part 8: Process and Tools
I think this will be the final post in this series. I have covered some important but somewhat dry aspects of designing an analytics library, but have said very little about finance and it's high time...
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Architecture Series, Part 7: APIs for Humans
While an "XML-in XML-out single pipe" approach has several advantages that make it a good choice for a core library, it is not the way most of us like to code. We don't want to create and parse XML...
View ArticleError: negative rate whilst building model
Interest rates are always positive. Or maybe zero. But never negative. This assumption is so common, it is often unwritten or implied. And the implications for pricing financial contracts when the...
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Financial Architecture Series, Part 1: The Product Concept
In this series of posts, I intend to consider financial derivatives as a whole and develop a conceptual framework in which any such derivative can be described. In doing so, I will focus on the...
View ArticleFinancial Architecture Series, Part 2: Anatomy of a cash flow
The only essential content of a Product is the list of payment obligations and rights to make choices which it assigns. Given how important payments are in this conceptual framework, it is worth...
View ArticleFinancial Architecture Series, Part 3: Payment amounts - the Index concept
In part 1 and part 2, I described how parties to a contract may be obliged to make payments and described the basic anatomy of a payment, but deferred the topic of exactly how the payment amount is...
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