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trading-risk-platform

bank front-to-risk trading platform

Goldman SecDB, JPMorgan Athena, BofA Quartz

SystemTechniques · 10Primitives · 39 trading-risk-platform Primary-backup replicationdistributed · medium: One node orders all writes and ships them to standbys; the acknowledgement rule (none, one, all) sets what a crash loses, and an external arbiter decides who takes over.›Pnl attributioneconomics · medium: Explain daily P&L as sum of sensitivity-times-move terms (delta, gamma, vega, theta) with an unexplained residualBinomial lattice pricingfinance · medium: Recombining price tree with risk-neutral probabilities and backward induction; the cheapest way to price early-exercise claims, O(N²) time and O(N) memory.›Least squares monte carlofinance · medium: Longstaff-Schwartz regression for early-exercise options in Monte CarloValue 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.›Bitemporal datastorage · medium: Valid time plus transaction time on every record for as-of queries, back-dating and correctionsBlack-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.›Day count conventionsfinance · low: ACT/360, ACT/365, 30/360, ACT/ACT accrual fractions for interest and couponsMonte 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.›Topological sortgraphs · low: Order the vertices of a DAG so every edge points forward; the core of build systems, schedulers and dependency resolution, with cycle detection for free.›Bytecode interpretercompilers · low: Register/stack VM dispatch loop for executing compiled plans or rules (SQLite VDBE, nftables)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.›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.›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.›Reverse-mode automatic differentiat…ml-training · low: Record the forward computation on a tape, then sweep it backwards once to get the gradient of a scalar loss for all inputs.›Sequenced multicast feednetworking · low: Exchange order-by-order data as fixed binary messages in sequenced UDP multicast packetsOptimistic concurrency controlstorage · low: Run transactions without locks, record what they read, and validate at commit that nothing changed; fastest when conflicts are rare.›Hierarchical 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.›Leasesdistributed · low: A lock that expires on its own: bounded-time ownership that survives crashes and partitions, given bounded clock drift and fencing tokens on writes.›Write-ahead logstorage · low: Append each change to a checksummed sequential log and fsync it before touching data pages; the basis of crash durability in nearly every database.›Health checkingsystems · low: Decide per backend whether to route to it using probes and real-traffic errors, with consecutive-count hysteresis, capped ejection and a panic fallback.›Linear and logistic regressionmachine-learning · low: Fit a weighted sum of features to a number (least squares) or a probability (logistic); the baseline every model must beat.›+ 3 more techniques+ 23 more primitives

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AthenaJPMorgan ChaseQuartzBank of AmericaSecDBGoldman Sachs Group