Principles of Quantitative Development

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Overview of Banking

The life of a trade is a complex one. From origination to settlement, a trade goes through numerous operations performed by various business units of the financial institution. All these operations together prescribe the requirements of a trading platform. These requirements are indeed daunting, from a software design perspective. Most vended trading platforms aim to meet the whole trade life-cycle management requirements. An in-house trading platform, however, targets a small subset of the requirements. It typically offers pricing, trade transformation services (fixing, triggering, etc.), risk management reports and database connectivity.

In addition to performing life-cycle transformations on a per-trade basis, a trading platform also needs to service the various views of information demanded of the trade as it evolves, depending on the business unit handling the trade. For instance, product control may need to review profit and loss (P/L) at a per-trade level while market risk management may need the sensitivities of the trades to market conditions at aggregate levels (such as books or portfolios). If you are a quant, all these details may sound mind-numbingly boring. However, if you are a quantitative developer and your job is to design and deploy pricing models on a robust platform, you need to be aware of these stages of the trade life cycle as well as the perspectives held dear in various business units. Failure to meet any one of the requirements ...