CORE FEATURES

qGraph Solution

INTEGRATION

Provides a seamless integration of in-house or external models and data

QUANT VIEW

Powerful QUANT view provides complete transparency into dependency graph

REAL-TIME

Real-time pricing of large portfolios

DIRECTED ACYCLIC GRAPH

High Performant DAG based calculation engine and Powerful UI visualization framework

UI BLOTTER

Comes with complete UI Blotter, Graph Visualization, Scenario Report, Scenario Builder Modules

SCENARIOS

Extendable scenario framework and separate scenario server

TEMPORAL CAPABILITIES

Instantly toggle between live and temporal/historical data

MULTI-ASSET

Designed to be multi-asset system. Base implementation contains FX Options, IRS, ED Futures pricing and scenarios

CHALLENGES AND OPPORTUNITIES

Risk and Calculation Frameworks

  • Increased demand for calculation engines driven by CCAR, FRTB, CVA, etc.
  • Higher expectation of performance across trading and risk functions
  • Common requirements across asset classes (FICC, Equities) and functions (Curve Building, Real-time Risk, Scenario Risk, XVA, P&L Attribution)
  • Systems in production evolved under a different environment and are often independent of each other in the same firm
  • Many systems are not taking full advantage of modern hardware, languages and software
  • Lot of time spent on orchestrating processes and shipping data around instead of computing results

IMPLEMENTATION

Maximize performance of the engine by taking advantage of the modern multicore hardware.

TECHNOLOGY STACK

  • Server/Engine: C++ 14.0, JAVA 1.8
  • Wire format: Protocol Buffers 3.0
  • Middleware : Support for integration with AMPS, Coherence and Apache Kafka
  • Client: C#.NET – MVVM/PRISM, REACT (JS/NPM), JavaFX

PERFORMANCE

  • Maximize performance of Engine by taking advantage of modern multi-core hardware.
  • Custom display grid framework that is highly responsive, intuitive and can scale to hundreds of thousands of records.
  • End to end performance goal. Efficient in getting data to compute and results to UI.

EASE OF INTEGRATION

  • Clean and modular design for easy integration of Client Models and Data.
  • Significant investment in unit testing and test harnesses.

FAQS

In securities, the problem of risk / pricing needs to be solved for multiple asset classes in multiple contexts
  • front office pricing and risk management – market risk
  • Counterparty risk
  • Stress test (CCAR, etc.)
  • Capital calculations (FRTB)
  • Collateral (SIMM)
qGraph offers a low cost, multi asset, unified solution across all these areas at a fraction of the cost of solutions available in the market.
  • Hardware : Quad core, i-7, 32GB RAM 1TB SSD
  • Portfolio : 100K swaps
  • Server Compute time: 1 second
  • Server Publish time: 1 second
  • Server Start time (getting data and constructing graph) : 15 seconds
  • UI display time : 5 seconds
  • Temporal queries : 2 seconds
  • Scenario with 10 rate shifts (calc and pub) : 30 seconds ( 550K computations )
  • Distribution license is per server and distribution consists of libraries (debug and release), header files, examples, make files and a visualization UI framework
  • Support via email will be standard with license. Of course, the customer can choose on-site or remote Euclid resources for dedicated support.
  • Current Swaps solution can be licensed directly to speed up the development process and Euclid can assist customizing the solution in integrating with in-house trading systems for data and in-house model libraries and also build reporting UIs, blotters on top of the framework.
  • It is not a problem. As long as we get the header files and libraries, we are good to go.
  • The current production engine is in C++. So, we’d need to bridge Java and C++ using JNI. Alternately, We have Java engine currently in development as well that can be expedited to production based on your requirement
  • The functions can still run in synchronous mode and take advantage of the other aspects of the framework.
  • If parallelism is desired, function calls can be farmed out to a compute grid or in a separate process.
  • Euclid can work with the customer to make the code capable of running in a multi threaded environment.
Any or all of the following steps

  • Schedule a demo
  • Deliver a targeted solution in the following areas for any asset class(es)

    • Curve and Vol Surface building
    • Real-time pricing and risk
    • Scenario Analysis ( Including CVA, CCAR, FRTB etc.)
  • Fulfill client’s FinTech endeavors
  • Explore client’s internal cloud implementations
  • Develop a strategic partnership with the client to extend the solution

REQUEST A DEMO

Please contact us to learn more and get a demo. You’ll hear from us within 24 hours.

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