Principles of Quantitative Development

Contents

List of Figures, Tables and Big Pictures

Preface

1 Introduction

1.1 What is a trading platform?

1.1.1 Model archival

1.1.2 Incremental deployability

1.1.3 Live data feeds

1.1.4 Trade persistence

1.1.5 Regular processing

1.2 Quants and quantitative developers

1.3 Need for speed

1.4 Implementation options

1.4.1 Outsource to vendor

1.4.2 Use vendor API

1.4.3 Develop in-house

1.4.4 Replace vended systems

1.5 Current trends

1.6 Technical and business aspects of platform design

1.7 Importance of processes

1.8 Objectives and organization

Quiz

2 Overview of Banking

2.1 The offices

2.2 Front office

2.2.1 Economists

2.2.2 Structurers

2.2.3 Sales

2.2.4 Trading desks

2.2.5 Desk quants

2.2.6 Platform or quantitative developers

2.2.7 Desk risk management

2.3 Middle office

2.3.1 Product control

2.3.2 Treasury control unit

2.3.3 Market risk management

2.3.4 Credit risk management

2.3.5 Operational risk management

2.3.6 Rates management

2.3.7 Static data management

2.3.8 Compliance and reporting

2.3.9 Market risk management analytics

2.3.10 Asset and liability management

2.4 Back office

2.5 Supporting units

2.6 Summary

Quiz

3 Trade Life Cycle

3.1 Pre-trade activities

3.2 Inception

3.3 Validation

3.4 Regular processing

3.5 Life-cycle events

3.6 Termination and settlement

3.7 Post-trade Activities

3.8 Summary

Quiz

4 Trade Perspectives

4.1 Trade-centric view

4.2 Model-centric view

4.3 Product-centric view

4.4 Asset-class view

4.5 Queues and status flags

4.6 Aggregate views

4.7 Bottom-line ...