Event
QWAFAFEW Denver - May 18th Meeting - Ed Parcell, Janus Capital
Loman - An Open-Source Computation Engine for Quants
Loman is a system we have created to track whether information in large systems of dependent calculations is up-to-date, and recalculate it as required. We have found that it sped up our quantitative research, and allowed research models to be easily transferred into production either in a robust batch mode allowing easy inspection of errors, or flexible real-time mode.
In this talk, Ed will demonstrate using Loman to solve some typical quant problems:
Calibrating dual-bootstrap curves to manage a portfolio of interest rate swaps using forward-bucketed risks
Valuing and risk-managing multi-asset portfolios
Back-testing systematic strategies with frictionless deployment to production
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LocationCactus Club (View)
1621 Blake Street
Denver, CO 80202
United States
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