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CFA NY Panel Discusses Modeling Implications for Libor Cessation
I recently had the opportunity to participate in a panel for CFA Society NY, as part of their Libor Transition Series. Conversation centered on “Modeling Implications for Replacement Rates for Libor.” I was in good company with host, Peter Went, PhD, lecturer at Columbia University, Fabio Mercurio, Global Head of Quantitative Analytics at Bloomberg, and Agha Mirza, Managing Director and Global
Architecture 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, well-written C++ can be very efficient, but it has to be well-written. The object model of C++ lets us cope with the ever increasing complexity of the calculations required to solve modern quantitative
December 3, 2012
Architecture 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, process and architecture which are more general, applying to software systems in this and other domains. Programming Paradigm The overwhelming winner in this category is object-oriented programming
November 21, 2012
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 programming is the essential attribute the marginal impact on the capital position of any proposed trade needs to be known in advance, which means a complete recalculation at portfolio level and a
November 7, 2012