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FIS Front Arena – Parametric Value at Risk (VaR)
In FIS Front Arena – Scenario Value at Risk (VaR) we discussed computation of scenario/stressed VaR. Today will discuss more sophisticated parametric VaR. It is also called variance-covariance or delta-normal method. This blog is going to be mathematical in nature due...
FIS Front Arena – Scenario Value at Risk (VaR)
As I mentioned in Understanding Value at Risk (VaR), prerequisite for computing VaR is to have data points. It could be theoretical value or theoretical profit or loss of the portfolio over a certain period. Problem with this historical data is that, it may not...
Front Arena and Testing
Broadly, you can segregate your tests into function/integration testing and unit testing. Functional testing can he achieved using Arena Test Framework and for unit testing you can either choose the built-in unittest library or any third party library. I have used...
OOAD In Action!
Requirement: Many of you might have seen the movie “The Lion King”. Today we are going to model it using Object-Oriented design techniques! Sounds exciting? Lets start with our requirement. “Mufasa (father), Sarabi (mother) and Simba (cub) are resting below a tree to...
Understanding Value at Risk (VaR)
Mathematics can be boring. To make things interesting for you, I am going to keep all the mathematical and statistical jargons aside and describe concept in a fun way. We all love cricket. Today, let's spend some time connecting cricket with mathematics. Graph above...
FIS Front Arena Data Flow Language (ADFL)
It was probably during 2010-2011 that I was first introduced to this technology. Coming from object-oriented programming background initially I found it difficult to grasp the detail, but I could imagine what wonders this technology can do. If you are coming from pure...
FIS Front Arena – Trade Life Cycle Management
FIS Front Arena is a front-to-back cross asset trading platform and thus it supports all the fundamental activities necessary to manage the life cycle of a trade. In this article, I will give a glimpse of the activities involved. This article is going to be very...
FIS Front Arena – System Architecture for Beginners
I have seen many newbies and aspirant Front Arena (FA) developers struggle to get hang of things especially when they land the sea of information available in knowledge base (https://kbase.frontarena.com). To be honest, kbase has been very well organized, but it is...
Why Data Scientists Love Python
According to the Python Institute, “Python is a widely-used, interpreted, object-oriented, and high-level programming language with dynamic semantics, used for general-purpose programming.” In other terms, Python is a very popular programming language, it is also an...