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ctrm

commodity trading and risk management with physical logistics

ION Openlink Endur, ION Allegro

SystemTechniques · 8Primitives · 39 ctrm Tariff ratingfinance · medium: Rate usage events against price plans: tiers, time bands, bundles and rounding rulesValue at Risk and Expected Shortfallfinance · medium: A loss threshold exceeded with probability 1−α over h days, plus the mean loss beyond it; three estimators trade speed for realism.›Min cost flowgraphs · medium: Minimum-cost flow (successive shortest paths, network simplex) for distribution and rebalancingMixed-integer programming (branch a…optimization · medium: Solves LPs with integer variables by solving the LP relaxation, branching on a fractional variable, and pruning subtrees whose LP bound cannot beat the incumbent.›Bitemporal datastorage · medium: Valid time plus transaction time on every record for as-of queries, back-dating and correctionsCutting planesoptimization · medium: Valid inequalities added to an LP relaxation to cut off its fractional optimum without removing any integer point; the engine of branch-and-cut MIP solvers.›Presolve reductionsoptimization · medium: Cheap, provably safe reductions run before the solver (fix variables, drop rows, tighten bounds and coefficients) so LP and MIP solves start from a smaller, tighter model.›Money representationfinance · low: Store money as integer minor units with an explicit currency exponent, compute in wider integers, and round once with a named rounding mode.›Black-Scholes-Merton formulafinance · low: Closed-form European option price and Greeks from spot, strike, time, rates and volatility; Newton inversion gives implied volatility. About 30 ns each.›Monte Carlo integrationnumerics · low: Estimate an expectation by averaging random samples; error falls as σ/√N in any dimension, and variance reduction (antithetic, control variates, importance sampling) shrinks σ.›Simplex methodoptimization · low: Solves linear programs by walking along the edges of the feasible polytope from vertex to vertex, one basis swap (pivot) at a time; the workhorse behind MIP solvers.›Pratt parsingcompilers · low: Table-driven expression parsing with one loop and a numeric binding power per operator; the compact core of precedence handling in hand-written parsers.›Formula price averagingeconomics · low: Price a commodity trade as the average of a benchmark index over a pricing period with weights, holidays and fixingsCurrency cross rate triangulationfinance · low: Deriving cross rates through a base currency with correct precision, inversion and spreadsDouble-entry ledgerfinance · low: Append-only journal of transactions whose postings sum to zero per currency; balances are derived, so money can only move, never appear or vanish.›Event sourcingfinance · low: Persist state changes as an append-only stream of immutable events per entity; current state is a fold over them, guarded by expected-version appends.›Fifo lot consumptionfinance · low: Consuming quantities from dated lots in FIFO/FEFO order (points expiry, stock rotation)Pre-trade risk checksfinance · low: Constant-time gate in front of order entry that rejects fat-finger, over-limit and runaway orders using worst-case exposure counted over open orders.›Reconciliationfinance · low: Match internal ledger records against bank and processor statements by reference, then amount and date window; every unmatched or mismatched item becomes an exception.›Spline interpolationnumerics · low: Linear, bilinear/trilinear and cubic spline interpolation on grids and tablesTime-window feasibilityoptimization · low: Keep earliest/latest start and slack per segment so "does this insertion or move keep every window?" costs O(1) instead of a walk down the sequence.›Business day calendarssystems · low: Holiday calendars, business-day adjustment rules (following, modified following) and settlement cyclesHierarchical state machinesystems · low: Nest states so a substate inherits its parent's reactions and only overrides what differs, with ordered entry and exit actions along the path.›+ 1 more techniques+ 23 more primitives

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