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Principles of Quantitative Development

Book Description

Principles of Quantitative Development is a practical guide to designing, building and deploying a trading platform. It is also a lucid and succinct exposé on the trade life cycle and the business groups involved in managing it, bringing together the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization.

The book begins by looking at the need and demand for in-house trading platforms, addressing the current trends in the industry. It then looks at the trade life cycle and its participants, from beginning to end, and then the functions within the front, middle and back office, giving the reader a full understanding and appreciation of the perspectives and needs of each function. The book then moves on to platform design, addressing all the fundamentals of platform design, system architecture, programming languages and choices. Finally, the book focuses on some of the more technical aspects of platform design and looks at traditional and new languages and approaches used in modern quantitative development.

The book is accompanied by a CD-ROM, featuring a fully working option pricing tool with source code and project building instructions, illustrating the design principles discussed, and enabling the reader to develop a mini-trading platform.

The book is also accompanied by a website http://pqd.thulasidas.com that contains updates and companion materials.

"The ebook version does not provide access to the companion files".

Table of Contents

  1. Cover Page
  2. Title Page
  3. Copyright
  4. Contents
  5. List of Figures, Tables and Big Pictures
  6. Preface
  7. 1: Introduction
    1. 1.1 WHAT IS A TRADING PLATFORM?
    2. 1.2 QUANTS AND QUANTITATIVE DEVELOPERS
    3. 1.3 NEED FOR SPEED
    4. 1.4 IMPLEMENTATION OPTIONS
    5. 1.5 CURRENT TRENDS
    6. 1.6 TECHNICAL AND BUSINESS ASPECTS OF PLATFORM DESIGN
    7. 1.7 IMPORTANCE OF PROCESSES
    8. 1.8 OBJECTIVES AND ORGANIZATION
    9. QUIZ
  8. 2: Overview of Banking
    1. 2.1 THE OFFICES
    2. 2.2 FRONT OFFICE
    3. 2.3 MIDDLE OFFICE
    4. 2.4 BACK OFFICE
    5. 2.5 SUPPORTING UNITS
    6. 2.6 SUMMARY
    7. QUIZ
  9. 3: Trade Life Cycle
    1. 3.1 PRE-TRADE ACTIVITIES
    2. 3.2 INCEPTION
    3. 3.3 VALIDATION
    4. 3.4 REGULAR PROCESSING
    5. 3.5 LIFE-CYCLE EVENTS
    6. 3.6 TERMINATION AND SETTLEMENT
    7. 3.7 POST-TRADE ACTIVITIES
    8. 3.8 SUMMARY
    9. QUIZ
  10. 4: Trade Perspectives
    1. 4.1 TRADE-CENTRIC VIEW
    2. 4.2 MODEL-CENTRIC VIEW
    3. 4.3 PRODUCT-CENTRIC VIEW
    4. 4.4 ASSET-CLASS VIEW
    5. 4.5 QUEUES AND STATUS FLAGS
    6. 4.6 AGGREGATE VIEWS
    7. 4.7 BOTTOM-LINE VIEW
    8. 4.8 OTHER PERSPECTIVES
    9. 4.9 SUMMARY
    10. QUIZ
  11. 5: Programming Languages — Basics and Choices
    1. 5.1 LANGUAGE CHOICE
    2. 5.2 BASICS OF COMPUTING
    3. 5.3 OBJECT-ORIENTED LANGUAGES
    4. 5.4 FUNCTIONAL PROGRAMMING
    5. 5.5 SUMMARY
    6. QUIZ
  12. 6: Trading Platform Design
    1. 6.1 GENERAL DESIGN CONSIDERATIONS
    2. 6.2 ARCHITECTURE COMPONENTS
    3. 6.3 EXAMPLE ARCHITECTURE
    4. 6.4 ADVANCED ARCHITECTURE
    5. 6.5 SUMMARY
    6. QUIZ
  13. 7: Computing Patterns for Trading
    1. 7.1 FAÇADE PATTERN
    2. 7.2 VISITOR PATTERN
    3. 7.3 SINGLETON PATTERN
    4. 7.4 FACTORY PATTERNS
    5. 7.5 COMPONENT OBJECT MODEL
    6. 7.6 SUMMARY
    7. QUIZ
  14. 8: Flexible Derivatives Pricing Tool
    1. 8.1 DESIGN SCOPE
    2. 8.2 DESIGN GOALS AND FEATURES
    3. 8.3 USER INTERFACE
    4. 8.4 SUMMARY
    5. QUIZ
  15. 9: Pricing Tool to Trading Platform
    1. 9.1 PRICING TOOL: INTERNALS
    2. 9.2 FUTURE ENHANCEMENTS
    3. 9.3 SUMMARY
    4. QUIZ
  16. 10: Summing Up
    1. 10.1 EPILOGUE
    2. 10.2 FURTHER READING
  17. Appendix
    1. A.1 CD CONTENTS
    2. A.2 HISTORICAL PERSPECTIVE
  18. Glossary of Terms
  19. Index