Fixed Income Pricing Risk Library
- Yield curve modelling, parameterization, linear swap pricing/risk
- Inflation modelling and swap/linker pricing
- Vanilla swaptions, Bermudan Swaptions, SABR, YCSO, midcurve swaptions, CMS, Bermudans
- Listed rates futures and options
- Bond/Repo Pricing
- MBS modelling and integration into OTC risk (xVA, CVA, ...)
- Risk based PnL across Fixed Income assets
- Monte Carlo and PDE Solvers
- Sensitivity analysis with AAD
- C++, Python, Rust
- NVIDIA CUDA C++ GPU Acceleration, Thrust
- Implement model calibration with Tensorflow
- Design an AWS cloud solution to make use of the quant library (Risk Engine, Trading Platform)
- cover pre-trade to core analytics
Support Reading Materials:
- CUDA C++ Programming Guide Release 12.2 by NVIDIA
- Programming Massively Parallel Processors A Hands-on approach by Wen-Mei Hwu
- Programming in Parallel with CUDA by Richard Ansorge
- Data Parallel C++ Mastering DPC++ for Programming of Heterogeneous Systems using C++ and SYCL by James Rainders
- Pro TBB C++ Parallel Programming with Threading Building Blocks by James Rainders
- C++ Design Patterns and Derivatives Pricing by Mark Joshi
- Discovering Modern C++ by Peter Gottschling
- C++ High Performance: Master the art of optimizing the functioning of your C++ code by Bjorn Andrist, Viktor Sehr, Ben Garney
- C++ Template Metaprogramming: Concepts, Tools, and Techniques from Boost and Beyond" by David Abrahams, Aleksey Gurtovoy
- C++20 - The Complete Guide: First Edition Paperback by Nicolai M. Josuttis
- Functional Programming in C++ by Ivan Cukic
- C++ Concurrency in Action by Anthony Williams
- Introduction to Algorithms by Cormen, Leiserson, Rivest, Stein
- Computer Architecture A Quantitative Approach by Hanessy and Patterson
- Cloud-native, high throughput grid computing using the AWS HTC-Grid solution https://aws.amazon.com/blogs/hpc/cloud-native-high-throughput-computing-with-aws-htc-grid/
- Monte Carlo methods: with application to the pricing of interest rate derivatives by Roman Frey
- Modern Computational Finance AAD and Parallel Simulations by Antoine Savigne
- Tools for Computational Finance by Rüdiger U. Seydel
- xVA: Credit, Funding and Capital Valuation Adjustments (Wiley Finance Series) by Andrew Green
- Derivative Pricing and Credit Exposure Modelling by Lilan Li
- High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems by Irene Aldridge
- Building Low Latency Applications with C++ by Sourav Ghosh
- Developing High-Frequency Trading Systems by Sebastien Donadio, Sourav Ghosh, Romain Rossier
- Monte Carlo Methods in Finance by Jaeckel
- Monte Carlo Methods in Financial Engineering by Glasserman
- Computing Sesnsitivities of CVA with Adjoint Algorithmic Differentiation by d-fine Gmbh Oxford University
- The art of differentiating computer programs by Uwe Naumann
- Smoking Adjoints : Fast Monte Carlo Greeks by Mike Giles and Paul Glasserman
- An Introduction to the Numerical Simulation of Stochastic Differential Equations by Desmond J. Higham
- Accuracy and Stability of Numerical Algorithms by Nicholas Higham
- Numerical Analysis by Burden and Faires
- Deep Learning in Quantitative Finance by Andrew Green
- Machine Learning for Risk Calculations: A Practitioner's View by Ignacio Ruiz
- A Practitioner's Guide to Discrete-Time Yield Curve Modelling by Ken Nyholm
- Yield Curve Modeling and Forecasting?: The Dynamic Nelson-Siegel Approach by Francis X. Diebold
- Interpolation methods for curve construction by Hagan
- Methods for constructing a yield curve. Wilmott Magazine by Hagan
- Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548
- Paul Willmot on Quantitative Finance
- Stochastics Calculus for Finance I, II by Shreve
- Coursera EPFL Interest Rate Models Damir Filipović
- Interest Rate Modelling by Andersen Piterbag
- Interest Rate Models Theory and Practice Brigo and Mercurio
- Fixed Income Modelling by Munk
- A Functional Libor Market Model Implementation and Application to Exposure Measurement by Wolfram Boenkost
- Market Models for Inflation Ferhana Ahmad Oxford University