Chapter 2 Introducing the Building Block Data Model

This chapter introduces a data model that we believe is reasonably robust even for the most involved applications. The version presented here is largely sufficient to support any analytics discussed in this book. The data model has the advantage of (1) being able to dynamically store and integrate new information items that are not foreseen at system design time, and (2) being instrument type agnostic; that is, you can store information on all imaginable financial instruments in one single framework.

The pricing, risk, and performance measurement algorithms presented in this book can also be implemented using spreadsheet-style data structures. One can make the bridge between the uni- or two-dimensional ...

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