Microservices and the Amazon Cloud

Capital Markets have been at the leading edge of adopting software technology to gain advantage and increase automation, but in the recent past have fallen behind the curve compared to the infrastructure, practices and technologies used by the Tech sector. Background I remember like it was yesterday (actually 1990 🙂 ) using Cobol on an IBM Mainframe while […]

Bachelier Model: Fast Accurate Implied Volatility

“An industrial solution” – provides computation to near machine precision for option prices over an extremely large range! Fast and analytic in nature, employs rational polynomials to determine implied BpVol. Follows the Bachelier model; that is, dF = σdW. A new method for computing implied BP Vol (basis point volatility) analytically has come to light. It is described by […]

Exploring Seasonality in a Time Series with R’s ggplot2

Inflation index values are decomposed into trend, seasonality and noise. Certain types of graph help identify seasonality. Graphs can be created simply and quickly in R. Simple graphs can be refined for stronger visual impact. Recently, I have been looking at inflation indices and studying their seasonality. The best way to see the overall trend and seasonality in this […]

SDR Data via Microservices

SDR Prices can be retrieved directly from Clarus using very simple code This allows our users to efficiently bring the data into any suitable environment This means that SDR data is available via an API This API is also simple to implement and simple to access. As I said last time, I’m not a coder. Fortunately, our developers help me […]

Auto-detecting date format in CSV files

When uploading data into systems, comma separated value format (CSV) is a common choice. A difficulty can arise when editing CSV files in Excel — date formats can easily (and accidentally) change causing upload failures and end-user frustration. It is possible to write CSV uploading routines to automatically detect date formats and alleviate this problem […]

Data correction with fuzzy string matching

We are all familiar with Google’s “Did you mean” correction for misspelt search terms. But how does it work? There is a great chapter by Norvig in the book ‘Beautiful Data: The stories behind elegant data solutions’, that discusses and implements a basic spelling corrector, using only a few lines of python code. The chapter […]

SDR Prices, Python and plotly

We supply simple code to retrieve SDR Prices into Python And create a streaming chart of swap prices and volumes The code was written by an ex-trader with no prior experience of Python Showing how easy it is to use the Clarus API Clarus continue to make swaps data more accessible than ever Is this a Stupid Thing to […]

Adapting to Direct Forward Curves

In interest rate pricing direct forward curves are defined on forward rates for a specific tenor as opposed to the more common discount factor representation, or the instantaneous forward curve representation. A simple example of a direct forward curve for 3M LIBOR would consist of a set of points and an interpolator, the points would […]

Quantitative Finance ‘GoodReads’

Two reading lists of books relevant to quantitative finance are provided using the GoodReads platform. Often I am asked to recommend good books to help a student, colleague or customer get a better grasp of quantitative finance. Instead of ad-hoc and incomplete lists, I thought it might be useful (especially for me) to have a […]