The current table of contents of the book (Jan 2010).
Preface
- Introduction
- What is a Trading Platform?
- Model Archival
- Incremental Deployability
- Live Data Feeds
- Trade Persistence
- Regular Processing
- Quants and Quantitative Developers
- Need for Speed
- Implementation Options
- Outsource to Vendor
- Use Vendor API
- Develop In-House
- Replace Vended Systems
- Current Trends
- Technical and Business Aspects of Platform Design
- Importance of Processes
- Objectives and Organization
- Quiz
- Overview of Banking
- The Offices
- Front Office
- Economists
- Structurers
- Sales
- Trading Desks
- Desk Quants
- Platform or Quantitative Developers
- Desk Risk Management
- Middle Office
- Product Control
- Treasury Control Unit
- Market Risk Management
- Credit Risk Management
- Operational Risk Management
- Rates Management
- Static Data Management
- Compliance and Reporting
- Market Risk Management Analytics
- Asset and Liability Management
- Back Office
- Supporting Units
- Summary
- Quiz
- Trade Life Cycle
- Pre-Trade Activities
- Inception
- Validation
- Regular Processing
- Life-Cycle Events
- Termination and Settlement
- Post-Trade Activities
- Summary
- Quiz
- Trade Perspectives
- Trade-Centric View
- Model-Centric View
- Product-Centric View
- Asset-Class View
- Queues and Status Flags
- Aggregate Views
- Other Perspectives
- Summary
- Quiz
- Programming Languages - Basics and Choices
- Language Choice
- Basics of Computing
- Development Cycle
- Dependencies and Makefiles
- Lexical Structure of a Programming Language
- Object-Oriented Languages
- Basics of Object-oriented Methodology
- Advantages and Disadvantages of Object-Oriented Approach
- Functional Programming
- Summary
- Quiz
- Trading Platform Design
- General Design Considerations
- Maintainability and Documentation
- Scalability and Extensibility
- Security and Access Control
- Architecture Components
- Trade Representation
- Market Representation
- Static Data Management
- Quant Library
- Trade Transformations and Operations
- Settlement Triggers or Pathways
- Batch Processing and Grid Computing
- Credit Replication
- Security and Audit Model
- Documentation and Support Model
- Example Architecture
- Advanced Architecture
- Summary
- Quiz
- Computing Patterns for Trading
- Façade Pattern
- Visitor Pattern
- Singleton Pattern
- Factory Patterns
- Component Object Model
- Summary
- Quiz
- Flexible Derivatives Pricing Tool
- Design Scope
- Design Goals and Features
- Pricing Tool Features
- Data Types Support
- User Interface
- Main Control Interface
- Create/Edit Product
- Create/Edit Model
- Generating a Function Template
- Complex Parameter Visualization
- Pricing Interface
- Visualization Interface
- Finite Difference Engine
- Summary
- Quiz
- Pricing Tool to Trading Platform
- Pricing Tool - Internals
- Common Quant Classes
- Main Interfaces
- Pluggable Pricing Models
- Reusable Components
- Source Code Documentation
- External Packages
- Future Enhancements
- Trade Database
- Market Data
- Life-Cycle Management
- Security and Access Control
- Batch Process
- Summary
- Quiz
- Summing Up
- Epilogue
- Further Reading
- Quantitative Finance
- Computing
- Economics
- Appendix
- CD Contents
- Historical Perspective
Glossary of Terms
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