Is it provided as additional libraries (like Strata), or packaged as a product (more like OG-Platform)?
I’d obviously like my team to focus more on the business logic and less on quantitative finance, but our firm is a big believer in “Hey how hard can it be?”
I’m kind of curious as to how you’re building the bp shift matrix - we used to get ours directly from the clearing houses (and that took quite a bit of sweet-talk). There were also some of issues with formats (e.g. CME and log returns, LCH and the absolute shifts).
That’s why I think you’re doing a great move with Strata. I think I’ve actually seen the Margin product page before, but just like other products (clearing houses or others), you can’t really find anything about the actual implementation and you kind of skip on. Once I saw Strata on github and got to actually look into the code I knew I could use it in more than one application we have running here.
Thanks for the quick replies, have good weekend guys.