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Thursday, June 22 • 3:03pm - 3:15pm
Heavy-duty pricing of Fixed Income financial contracts with Julia

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The pricing of bonds or a Credit Portfolio usually has simple mathematics. However, when faced with a big portfolio, careful design is crucial for a fast execution time. I'll show how I designed a solution to price a database of about 2.4 million contracts with 78 million cashflows in up to 3.5 minutes using a 8 core machine. The solution uses plain simple Julia code, some parallel computation and buffering strategies, Julia's native serialization for fast-loading data from the disk, and a handful of packages. BusinessDays.jl and InterestRates.jl packages will be featured.

Speakers
avatar for Felipe Noronha

Felipe Noronha

Bachelor in Computer Engineering, M. Sc. in Economics, Market Risk Manager at BNDES (Brazilian Development Bank).


Thursday June 22, 2017 3:03pm - 3:15pm
West Pauley Pauley Ballroom, Berkeley, CA

Attendees (10)