Abstract
With the overall workflow outlined in the previous chapter in mind, we now zoom in to the individual system components. We first cover the involved tools and their implementation and later focus on data sets and their structure.
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Notes
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Mozilla, the Firefox developers, discourage using quite a few C++ features in https://developer.mozilla.org/en-US/docs/Mozilla/C++_Portability_Guide. I don’t agree with all of them, especially those concerning the C++ standard library and exceptions, but would certainly want to avoid C++ templates.
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This calls for using simple parallel processes instead of the more involved technique of multi-threading.
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Day count conventions define how time periods are handled in light of unevenly-sized months, leap years, etc.; ACT/ACT stands, e.g., for actual/actual, a convention that uses the actual number of days to measure time-interval lengths.
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Note that the sub-position ID is no longer part of this output.
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Auer, M. (2018). Implementation. In: Hands-On Value-at-Risk and Expected Shortfall. Management for Professionals. Springer, Cham. https://doi.org/10.1007/978-3-319-72320-4_20
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DOI: https://doi.org/10.1007/978-3-319-72320-4_20
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Print ISBN: 978-3-319-72319-8
Online ISBN: 978-3-319-72320-4
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