Distributed calculations on fixed-income securities

摘要

This paper reviews real-world examples of distributed computing in the finance industry, specifically in institutional trading of fixed-income securities. Three examples illustrate small to large-scale distributed calculations: valuation of fixed-income derivatives, loading and producing time sequences of prices in statistical arbitrage on fixed-income instruments, and valuation of large portfolios of mortgage-backed securities. Two of these also serve to illustrate a recurring pattern in distributed access of financial data--- distributed caching.