Improving transparency in ML models for market abuse detection
We recently covered an article on Using AI for Market Abuse Surveillance, a very interesting use of Machine Learning (ML) to improve the classification of alarms generated in market surveliance. One of...
View ArticleFast Valuation of Seasoned OIS Swaps
OIS swaps have coupons determined by compounded daily interest rates settled every few months. The valuation of future coupons is computationally similar to the valuation of a LIBOR payment, in that...
View ArticleUsing the Clarus API to monitor the latest Brexit impacts
After shouting “HopSchwiiz” in my adopted nation waaaaaay too much at the football last night, I needed a somewhat low-energy blog this morning. Step forward our easy-to-use API, which has recently...
View ArticleCloud Security – What you need to consider
In this article we look at cloud security. With all the hype around Cloud, it’s easy to make assumptions as to what it can do, but security is an area where making assumptions can prove very costly,...
View ArticleTypes of Cloud – A Primer on the Choices and Challenges
Cloud is now ubiquitous, but not all clouds are the same. In this blog we will look at the different types of cloud – Private, Public, Hybrid and Multi-Cloud, and think about their suitability and use...
View ArticleMigrating to Cloud – An Insider’s Guide
In earlier blogs we have discovered the agility inherent in Cloud, but how do organisations manage to tap into this, with all their legacy systems? In this blog we will cover the strategy and issues...
View ArticlePaaS and SaaS – What you need to know
In my last blog I described the origins of Cloud and highlighted some of the benefits of Infrastructure as a Service (IaaS), but this does not reflect the real value of Cloud. To uncover this, we will...
View ArticleInfrastructure as a Service – the Bedrock of Cloud
In this blog I will explain the origins and key features of Infrastructure as a Service (IaaS), the core foundations of what we think of as Cloud. Cloud computing is an evolutionary consequence of a...
View ArticleIndices are the best way to calculate compound interest
To avoid complications with compound interest calculations, administrators of RFRs could publish a single Index each day. The equivalent term rate for any period could then be calculated by looking up...
View ArticleTest Data for the Cumulative Trivariate Normal Distribution
Using Java I implemented the double precision algorithm to compute the cumulative trivariate normal distribution found in A.Genz, Numerical computation of rectangular bivariate and trivariate normal...
View ArticleReleased: A Julia library for Clarus Microservices
A Julia library has been developed and released to support Clarus Microservices. The library provides convenient access to Clarus Microservices. Source code is available on GitHub. In a previous blog,...
View ArticleTrade Validation: A simple version of FpML rule IRD12
Trade representations in CSV or FpML often have issues with stubs. FpML validation rule IRD12 has simple alternative for a wide range of cases. A form of FpML IRD12 can be represented in XPath for a...
View ArticleArray Formulas in Excel
We explain how to work with Array Formulas in Excel. Master the Three Finger Salute CTRL+SHIFT+ENTER. CTRL+/ is an amazingly effective shortcut. It is always easier to expand an array than shrink it....
View ArticleCloud Security – What you need to consider
In this article we look at cloud security. With all the hype around Cloud, it’s easy to make assumptions as to what it can do, but security is an area where making assumptions can prove very costly,...
View ArticleTypes of Cloud – A Primer on the Choices and Challenges
Cloud is now ubiquitous, but not all clouds are the same. In this blog we will look at the different types of cloud – Private, Public, Hybrid and Multi-Cloud, and think about their suitability and use...
View ArticleMigrating to Cloud – An Insider’s Guide
In earlier blogs we have discovered the agility inherent in Cloud, but how do organisations manage to tap into this, with all their legacy systems? In this blog we will cover the strategy and issues...
View ArticlePaaS and SaaS – What you need to know
In my last blog I described the origins of Cloud and highlighted some of the benefits of Infrastructure as a Service (IaaS), but this does not reflect the real value of Cloud. To uncover this, we will...
View ArticleInfrastructure as a Service – the Bedrock of Cloud
In this blog I will explain the origins and key features of Infrastructure as a Service (IaaS), the core foundations of what we think of as Cloud. Cloud computing is an evolutionary consequence of a...
View ArticleIndices are the best way to calculate compound interest
To avoid complications with compound interest calculations, administrators of RFRs could publish a single Index each day. The equivalent term rate for any period could then be calculated by looking up...
View ArticleTest Data for the Cumulative Trivariate Normal Distribution
Using Java I implemented the double precision algorithm to compute the cumulative trivariate normal distribution found in A.Genz, Numerical computation of rectangular bivariate and trivariate normal...
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