Going back to basics

Should you work one day on pricing (art of pricing an instrument using Gross Basis, CTD, ASW, ...), you might need to refresh your memories with respect of Graph Algorithms.
Most (all?) pricing methods use graph (Directed Acyclic Graphs), instrument nodes and dependencies.
The probably two most important ones are breadth-first search and cycle-detection.
More posts will follow on my view on how to implement them.

JNI

A nice article from IBM on JNI.
I am currently developing a JNI lib to access a quant lib at work... I would say that I agree with all the points outlined in this article.

Paris Derivatives Jobs Burn as Market Rues BNP, SocGen Exotics

Article on BBG

Love this quote from Nixon

Now that the American debt has gone above 1,000,000,000,000 $, "THE DOLLAR MAY BE OUR CURRENCY BUT IT'S YOUR PROBLEM"

Top Influencers on IT Security

Top Influencers on IT Security