Principles of Quantitative Development

1.1 WHAT IS A TRADING PLATFORM?

The goal of this book is to help design a robust, durable and reliable trading platform. The first question then is: What exactly is a trading platform (or system)? For our purpose in this book, I define it as a program or a collection of programs that meets the following broad requirements.

1.1.1 Model archival

One of the problems that the quantitative analysis effort in any modern bank faces is the archival and reuse of their pricing models. A trading platform acts as a repository for the quantitative intelligence generated within the bank. A model developed for a particular product is all too often so specialized that it is difficult to deploy it to tackle another product. This lack of reusability results in duplicated effort. A well-designed trading platform can help by imposing the right quantum of structure and standards to encourage generic programming and to enforce reusability. Furthermore, it will hold all the pricing models with standardized interfaces in one place where they can be found, examined and reused.

1.1.2 Incremental deployability

A trading platform should provide means by which the new quantitative models developed or implemented in the bank can be easily integrated and deployed into the revenue generating work streams of the bank. In other words, even after the trading platform is commissioned, as new and innovative products are developed by the mathematicians and structurers, we should be in a position to augment our system ...