Principles of Quantitative Development

Index

abstract factory pattern 131, 132–3

access control

design considerations 90–1

implementation 107–8, 115

multiple systems 91, 108

operational risk and 24

pricing tool 190–1

single sign-on system 91, 108

accounting entries 29, 100

accounting rules 29, 100

accrual accounting 213

adapter pattern 123

aggregate views 57–8

American options, exercising 46

analytics group

functions 21, 27, 34

requirements 27

application programming interface (API) 213

see also WinAPI

architectural aspects, visibility of 88

arrays 71

asset and liability management (ALM)

definition 213

functions 27–8

asset-backed security (ABS) 214

asset-class perspective 54–5, 210

audit trails

definition 214

implementation 9, 108–10

technical requirements 38, 109

trade life-cycle 43, 55, 90, 94

back office 16, 29, 214

back-to-back trades 50–1

banks

activities 30

back office 16, 29, 214

front office 16–20, 35, 42, 107

functional separation policy 90

group dynamics in 199–200

middle office 16, 20–8, 58, 107

overview 15–30

size 30

support functions 29–30

barrier options 46

batch jobs 214

batch processing

design considerations 26, 102–5

implementation 113, 116

intermediate data storage 105–6

pricing tool implementation 191

regular processes 103

segmentation 104–5

time pressures 89, 103

binomial tree pricing model 51, 53–4, 80–3, 214

example code 83, 125–9

pricing tool implementation 146–7, 148–9

Black–Scholes pricing formula 51, 53–4, 214–15

example code 125–9

Blitz++ 169, 179

books 49, 210

Boost 179

bottom-line view ...