Principles of Quantitative Development

1.8 OBJECTIVES AND ORGANIZATION

The objective of this book is to lay down the requirements and the ideal design principles of a trading platform, especially one that is built in-house for rapid deployment of quant pricing models. Given the interdisciplinary nature of the beast that is an in-house trading platform, we will organize this book in a top-down fashion, emphasizing the big picture whenever possible. In order to encourage an appreciation for the interconnections among trade life-cycle events and the rationale behind them from this Big Picture perspective, we will pepper the discourse of the book with a series of columns, aptly called ‘Big Pictures.’

A short summary of what to expect in each of the following chapters may be of interest. After this introductory chapter, we will delve into the subject matter, starting from an overview of banking in Chapter 2. Here, we will look at the organizational structure of a bank from the perspective of a quantitative developer. While there are aspects of the bank that call for in-depth treatment, they are not of direct relevance to us. We will look at only those departments and business units that affect the flow of a trade (particularly of an exotic or structured product). This chapter is meant to provide a backdrop to those of us who venture into the exciting world of quantitative finance from engineering or scientific fields. For such professionals, the main difficulty is in the finance jargon built around the organizational structure ...