October 9th, 2011, 10:05 am
QuoteOriginally posted by: rmaxI think there are three groups of users with a variety of use cases:1. Students. They will use the functions to help them understand how instruments work; understand how to code in C++ etc2. Non Quant financial professional: they will want to be able to do back of fag packet calculations in Excel; test numbers coming from quant systems to see if they are correct etc. In here I would include senior managers, ops, product control, IT etc3. Quant professionals: will want to plug and play modules, build their own functions etcWe should definitely also consider the structurer using a payoff language, kind of 2,5? Shall FpML et similia be supported?That's one of the (many) reasons why I fear that requirements&architecture/design will require a lot of brainstorming, those topics don't seem settled at all yet in the SW market. And, taking the ball from another thread: it'd be great if the project wasnt restricted to pricing&risk but could span the whole range till HFT, to unite different communities so that common modules can benefit from more manpower (e.g. online stats, portfolio optimization). What about the energy markets? Outrun what's needed there that is out of the scope of classical financial tools?