Category Archives: MTM
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
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.