131–140 of 333 posts
Always funny to see the objections of new hires without finance experience to the use of floating point for pricing. It’s more related to the inherent inaccuracy of any pricing model though, rather than clients not caring about pennies.
"The sum of these values need to equal the sum of these values"
In that case you'd then needs to avoid
"sum_a == sum_b"
and use instead
"abs(sum_a - sum_b) < SOME_SMALL_VALUE"
> Investment banks have a one-way approach to open source software: (some of) it can come in, but none of it can go out I'd say thats how they see society and their role in it more generally. Doing God's work is a surprisingly directed graph. It applies also to the broader banking world, but investment banks being the most lucrative (when not bailed out) attract talented people that in principle can close the loop an…
it's also not entirely true, I know of some hedge funds that have made significant contributions to open source codebases (including Python)
actually besides the tech industry itself I can only think of the bio/medical industry being an important contributor (E.g the entire R ecosystem)
I was the person who first deployed Python at Goldman Sachs. At the time it was an "unapproved technology" but the partner in charge of my division called me and said (This is literally word for word because partners didn't call me every day so I remember) Err....hi Sean, It's Armen. Uhh.... So I heard you like python.... well if someone was to uhh.... install python on the train... they probably wouldn't be fired. O…
Doesn't seem that strange compared to K[1] or Q[2], which are used by Wall Street banks. K encourages you to use single-letter variables and bunch your code up as tight as possible into long lines. Here's an example: [3]. Interestingly, their Github repo has some K-inspired C[4], Java[5], C#[6], and Javascript[7]. [1] https://en.wikipedia.org/wiki/K_(programming_language) [2] https://en.wikipedia.org/wiki/Q_(programm…
Thank you. Now when I'm thinking some code I have to untangle is bad, I'd always remind myself "at least it's not K-inspired C"...
Earlier quoted context omitted.
Could be a misdirection because all of the rest fits Quartz to a tee. The Quartz database is called Sandra (referred to as Barbara here). The Quartz directed acyclic graph is called Dag (referred to as Dagger here) The Quartz job runner is called Bob (referred to as Walpole here which is a reference to Robert Warpole whose shortname is..Bob) These and the horrible proprietary IDE make it obvious which particular syst…
I think Athena has equivalents to all of these but I don't know what they're called. I only know Qz.
Both frontarena and murex use python as their “vb” kind of language. If you thought your deployment pipelines were weird, ours have included putting entire python apps into single strings and inserting them to an oracle db, where a fat windows client selects them and runs them on a windows python interpreter … via citrix… :/
This pattern in large part came from SecDB at Goldman, and then a few people who moved to moved to JPMC and BAML. Dependency graphs are an elegant solution to risk management and pricing etc. There’s a reason this approach works in IBanks. Check out Beacon.io which is the a SaaS implementation from the same team.
> Dependency graphs are an elegant solution to risk management and pricing etc. Dependency graphs are not a solution to risk and pricing. They are, in certain circumstances, a very useful tool. That's all. They also scale notoriously painfully. Putting a dependency graph as a mandatory component in your risk system was one of the worst technical decisions I've come across (and I've been doing this lark a long time).
Earlier quoted context omitted.
Certainly - let me try to share succinct version germane to my day-to-day - We regularly perform group/segment level risk roll-ups. Involves running computationally expensive (by insurance standards) in-house and third-party models that estimate loss from hurricanes, earthquakes, etc. A lot of our insurance data is unsurprisingly stored in disparate systems that don't talk to each other, and in some cases, don't have…
Thanks for a really comprehensive reply. Enjoyed your comment on PowerBI. My background is mainly life which is dominated (at least in Europe) by computationally demanding proprietary liability modelling systems but I think Python / R is getting a foothold in capital calculation / aggregation. My perception that there is a lot more use of in-house models in the GI / property-casualty worlds so more Python etc but sou…
There's not much (if any) appetite to completely rebuild 3rd-party geophysical vendor models. Those folks have 20+ years of work behind them and a different talent base (e.g. different types of scientists building the base models).
But we do focus on all the other stuff. Making data input easier/more accurate. Same thing re: output. Also the vast majority of our capital and group-level risk work happens in-house - R, Python, etc.