Monthly Archives: November 2021
DEVSTORY #13: Pricing CME Natural Gas American Options (ON) using options pricing functions as a service library
CME Natural Gas American Options (ON) priced using an American Call Option (Bjerksund Stensland 2002 approximation) model for live pricing and greeks. Low code, HA, hybrid cloud and kubernetes deployed containerized model accessed from any where through a https endpoint in a performant manner
DEVSTORY #12: Using function as a service (faas) to retrieve data from a knowledge graph
A trading firm stores its reference information in the Counterparty Knowledge Graph (CKG). Settlement contacts are one category of information of interest and queryable from the Counterparty Knowledge Graph (CKG). To expose the list of contacts related to the settlements role, for a particular commodity at the trading firm, there is a need to provide an endpoint that is manually or programmatically queryable.
DEVSTORY #8: Greenfield natural gas portfolio mid-office profit & loss platform for startup natural gas trading desk
mid office required a system to capture trades, capture trader marks and report daily p&l to match trader estimates. An operational, reliable, cheap system was required for this USD 30 million dollar startup portfolio. The long term plan was to migrate to a traditional ETRM system as the portfolio grew to USD 120 million. Since the startup decided to move quickly, the time and cost of evaluating and implementing a traditional ETRM would set then back several months if not a year at best.
A quick comprehensive and complete solution implemented in 2 months was delivered that met needs of desk.
DEVSTORY #14: Quantitative analysts rollout derivative pricing models globally to desktop pricers, ETRM, Accounting, and Risk systems in minutes not months
Roll out of enhanced pricing algorithms to price tail risk better, took three months to be deployed globally at a large trading firm. In the interim period, market makers, risk managers, and quants were using the new model. The mid-office was reporting off a nonvalidated model provided by the ETRM vendor. The back-office was generating…