Architecture
Java Enterprise (J2EE) System
- QuantRisk ETRM is a web-based platform with a modular architecture organized in 5 intergated systems all developed as Java Enterprise (J2EE) web applications using next generation technologies.
- Each system runs on its own webserver Tomcat and uses its own dedicated database.
- When deployed, the entire platform acts as a web system within your corporate intranet. All databases are supported, we however recommend the freeware MySQL, for which we deliver optimized pooling libraries.
- On the client side, the system is delivered as web pages in a browser.
Click image for a larger view.
Parallel Computing
- This advanced feature is embedded in the java architecture and parses any joint Monte Carlo simulations of price and volume curves across all available CPUs and rethreads the output back. When simulating 100’s of correlated curves, the Server will blaze through the process, and never jams, runs out of memory or goes unstable.
- Concurrent multiple instances of MTM or VaR valuation, Monte Carlo simulation, or settlement can run in parallel.
- All results are archived in a hypercube for fast retrieval and access.
High Performance Computing
- The Analytics and Risk Server comes loaded with optimized numerical C++ DLL’s, made of several hundred thousand lines of optimized numeric code, developed in Matlab. We use very advanced mathematical and scientific computing technologies.
- We manage memory and CPU up to 10 times more efficiently. Millions of data points can be simulated per minute per CPU.
- Interlace-threading of the Monte Carlo engine with dynamic mesh trinomial trees allows the computation of the VaR of options within a simulation framework.
High-Performance Monte Carlo Risk Valuation Engine
The Dimensions of the Monte Carlo Simulated Risk Hypercube
