August 2010
Beginner
251 pages
7h 20m
English
Content preview from Principles of Quantitative DevelopmentBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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4.3 PRODUCT-CENTRIC VIEW
Quantitative developers are product-centric in their trade view. Their work starts with the quant library. Each product or product variant put together using the models in the quant library needs to go into the trading platform, which forms the basis of the quant developer's bread and butter (see Figure 4.2).
The trading platform makes the models and programs from the quants usable to the rest of the bank. To the quantitative professionals who develop the trading platform, each product or product variant is a complete and independent unit of work. By and large, it does not matter to them whether the new product uses the same model as an existing one. They have to implement the necessary plumbing for all the downstream processes, regardless of what model is being used. Therefore, the work paradigm that makes most sense to quantitative developers is product-centric.
In our example of Black–Scholes and binomial tree models, the quantitative developers would probably find the largest superset of products that can use the two models. The pricing tool that comes with this book, for instance, defines vanilla options as the product, with call/put, European/American and Black–Scholes/binomial tree variants. This product-centric organization (starting from plain vanilla) minimizes the effort needed to deploy and maintain the trading platform and the products available on it.
Figure 4.2 The product-centric view of trading activities, appropriate in the trading platform. ...
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