Category Archives: FAAS
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 #14: Quantitative analysts rollout derivative pricing models globally to desktop pricers, ETRM, Accounting, and Risk systems in minutes not months
A low code, highly available, planet-scale, containerized, Kubernetes deployed, functions as a service approach, that allowed the quant and IT teams to roll out models using a Jenkins-based CI/CD process several times a day. Models were deployed as stateless functions called using simple HTTP get requests accessible from software clients such as spreadsheets, javascript, python, Java, C++, C#, and Golang programs. Several research quant groups could leverage these models from tools like R, SAS, and Matlab.
DEVSTORY #11 : Counterparty Knowledge Graph (CKG)
Schedulers, Settlement analysts, and AR/AP professionals at a commodity trading operation need up-to-date operational reference data related to counterparties and service providers. Most systems of record used today by personas in these operational roles are out of date as soon as they are deployed as data changes quickly and the systems are reliant on people to keep them up to date.
Keeping reference data up to date across multiple firms calls for a central repository of this information. The information is updated once by the responsible party. Notifications of change can be sent to other business entities that can elect to update their systems of record manually or programmatically on some or all notifications.