Amir took a look at CAD swaps when we first added the new Canadian DTCC data source at the beginning of this year. Now that we have more data and reporting has bedded down a bit, I thought it worthwhile to analyse the data to see if two sources are better than one. Canadian reporting […]

It has been some months since I wrote about Microservices and the Amazon Cloud and as we have recently released a major new version, I wanted to elaborate further on the importance of this technology. Background Microservices are fine-grained services that can be used to rapidly assemble a more complex service, a system, or a user interface. Unlike libraries […]

ClarusのAPIにはSIMMのセンシティビティを計算する関数があり、FpMLやCSVトレード・リスト・ファイルを含む多くのフォーマットが利用可能だ。
計算結果はISDA SIMM CRIFファイル・フォーマットに出力される
関数は一般的な言語、すなわちPython、R、C＋＋、Julia、Java等の言語で実行可能だ

There are two parallel branches to the SONIA reforms. One is to modify how the rate itself is being set. The other is to promote its’ use as the near Risk Free Rate for GBP derivative markets. We take a look at current SONIA markets. *Updated 18th May 2017 to correct the use of trimmed-mean (not median) […]