Unifying Front Office and Risk Analytics qCon London 2011 Friday, - - PowerPoint PPT Presentation
Unifying Front Office and Risk Analytics qCon London 2011 Friday, 11 March, 2011 Kirk Wylie - CEO, CTO Jim Moores - Head of Platform Development Financial Analytics Computational Data Analytics Analysis of large-scale Analytics data sets
Unifying Front Office and Risk Analytics qCon London 2011
Friday, 11 March, 2011
Kirk Wylie - CEO, CTO Jim Moores - Head of Platform Development
Mathematical calculations key to computational finance
Analysis of large-scale data sets
Computational Analytics
Transience Complexity
10-years+ Retention Throw-Away Immediately Minutes Hours Trivial Ghastly Excel Worksheets Front-Office Trading Systems Batch/Overnight
Traders Risk Managers Board Regulators How their positions reaction to market moves How market moves impact the firm Ensure trading satisfies shareholder needs Legal and economy- wide
Slow Regulatory Response Duplication of Effort Can’t Reconcile Can’t Get Results Fast Enough
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matter what underlying data source
consistent infrastructure
security or analytic definitions
securities without vendor support
analytic models at runtime
inputs/outputs
without platform support
as a plugin
analytics library can be integrated
public interface Security extends UniqueIdentifiable { UniqueIdentifier getUniqueId(); String getName(); IdentifierBundle getIdentifiers(); String getSecurityType(); } public class ComputedValue implements Serializable { private final ValueSpecification _specification; private final Object _value; public ValueSpecification getSpecification() { return _specification; } public Object getValue() { return _value; } // SNIP -- Constructors, .equals(), .hashCode(), etc. }
public interface SecuritySource { Security getSecurity(UniqueIdentifier uid); Collection<Security> getSecurities(IdentifierBundle bundle); Security getSecurity(IdentifierBundle bundle); } public interface PositionSource { Portfolio getPortfolio(UniqueIdentifier uid); PortfolioNode getPortfolioNode(UniqueIdentifier uid); Position getPosition(UniqueIdentifier uid); Trade getTrade(UniqueIdentifier uid); } public interface RegionSource { Region getRegion(UniqueIdentifier uid); Region getHighestLevelRegion(Identifier regionId); Region getHighestLevelRegion(IdentifierBundle regionIdentifiers); } public interface ExchangeSource { Exchange getExchange(UniqueIdentifier uid); Exchange getSingleExchange(Identifier identifier); Exchange getSingleExchange(IdentifierBundle identifierBundle); }
schedules, different resolution of results
Demonstration