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