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Financial-Risk-Manager

Open Engine API

API SDK Introduction
 
Keywords: Application Programming Interface, Valuation programming Interface, Function Overloading, Shared Object Oriented Hierarchy, Plug-In, Function Parser, Shared Memory Manager, Shared library Manager 
Audience: Advanced users, Financial-Engineers, Developers.

Generic Open Engine

The API toolkit gives you access to the trajectory of every crucial piece of data that takes place at every simulation step of each and every simulation horizon. You can catch every projected market or risk Risk Factor, value selected items, choose how values are aggregated and then hand control back to the engine so that it can disseminate your values back into the risk kernel.
Users can control the heart of  Risksvr™'s  simulation kernel through the Generic Open Engine API to either impose their own pricing routines for any existing instruments, add or remove specific values, take control of Risk Factor Price Levels or Stochastic Variables  and even take control of the calculation sequence.
Many opportunities exists for developpers and financial engineers with a basic knowledge of Visual Studio to add their own pricing routines, introduce new instruments, create new combinations of basic building blocks, impose specific algorithms, control market and credit data.

Note: the Risksvr™ Engine; Financial-Risk-Manager as well as [Unitized]-Time-Series-Manager are based on a common C++ framework.
This allows us to deliver very rapidly custom solutions on demand.

Both Financial-Risk-Manager as well as [Unitized]-Time-Series-Manager provide access to a published database Schema, this database can be used to facilitate integration and extend functionality.


 
 
Generic Instrument Hierarchy Overload:
A less powerful, but perhaps easier mechanism exists to introduce Instruments into the engine. Generic Pricing Plug-in provides access to the generic C++ asset instrument hierarchy.
 
The Generic Instrument is made of Multiple  Generic Legs. Each Leg can be defined as a series of risk type flows
which can be priced by the user according to his own C/C++ pricing function..

This mechanism is especially useful  to users who need to create an instrument that can be characterized
as a series of basic building blocks, but with their own pricing mechanism.


Pros : Facilitates integration with the engine parsing and validation mechanism.
Cons: much less powerful than Generic Open Engine API, Requires good understanding of
instrument pricing. Good knowledge of C++ OO mechanisms and financial engineering.

The Instrument hierarchy includes numerous component that can be inherited.
An Instrument is defined as a Trade envelope, Settlements, Optionality,. For more information see the Position Schema. Common Terms and one or multiple Exposure Legs.
New components can therefore be made of one or multiple inherited objects.
The most important Inheritable Component Objects are:
  • Equity
  • EquityStream
  • EquityOption,...
  • EquityStreamOption, .... PathDependant, Barriers, etc
  • Quanto, Compo, etc
  • QuantoStream, CompoStream, etc
  • Credit Sensitive Equity
  • Commodity
  • Commodity Stream
  • CommodityOption, .... PathDependant, Barriers, etc
  • CommodityStreamOption
  • FixedRateLegs, Settlements, FixedPayments
  • FloatingRateLegs, ......
  • CreditSensitiveFixedLegs,......
  • LegAgregators
  • ForeignExchange
  • ForeignExchangeOptions, PathDependant, Barriers, etc
  • Leg Aggregators,....
  • Collateralized Aggregators, ...

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