← Back
Home › Systems › Finance and trading

portfolio-management

institutional portfolio, risk and IBOR platform

BlackRock Aladdin, SimCorp, Charles River IMS

SystemTechniques · 13Primitives · 45 portfolio-management Mean variance optimizationfinance · medium: Markowitz portfolio optimization with constraints and efficient frontierOrder lifecycle state machinefinance · medium: Order states (new, partial fill, cancel/replace, rejected, expired) with strict transitions and idempotent eventsTax lot accountingfinance · medium: Per-lot cost basis (FIFO, specific ID), wash-sale rules and tax-loss harvestingValue 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.›Yield curve bootstrappingfinance · medium: Turn quoted deposits, futures and swaps into a discount curve by solving one new maturity per instrument so that every quote reprices exactly.›Quadratic programmingoptimization · medium: Convex QP solvers (active-set, interior-point, ADMM) for constrained optimizationBitemporal datastorage · medium: Valid time plus transaction time on every record for as-of queries, back-dating and correctionsCovariance shrinkagestatistics · low: Ledoit-Wolf shrinkage for stable covariance matrices from few samplesFIX protocol (session layer)finance · low: Tag=value order-entry protocol over TCP with per-direction sequence numbers, heartbeats and resend so sessions survive disconnects without losing or duplicating orders.›Corporate-action adjustmentfinance · low: Keep raw bars plus a tiny table of cumulative backward factors, built by one reverse scan over events and applied at read time, versioned by as-of date.›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.›Day count conventionsfinance · low: ACT/360, ACT/365, 30/360, ACT/ACT accrual fractions for interest and couponsPerformance attribution brinsoneconomics · low: Split portfolio excess return against a benchmark into allocation, selection and interaction effects per sector (Brinson-Fachler)Currency 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.›Portfolio performance metricsfinance · low: Time-weighted and money-weighted returns, Sharpe, Sortino, drawdownPre-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.›PCA and SVDmachine-learning · low: Find orthogonal directions of maximum variance by an SVD of the centred data; randomized SVD gets the top k components in a few passes.›Sequenced multicast feednetworking · low: Exchange order-by-order data as fixed binary messages in sequenced UDP multicast packets+ 6 more techniques+ 29 more primitives

Similar systems

Share the most building blocks with this one.

robo-advisor 32 %energy-trading 30 %securities-custody 29 %trading-risk-platform 29 %ctrm 29 %

In-house systems

Named systems of this kind at large companies, with their paper or write-up.

AladdinBlackRockAlphaState Street