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Overview

The valuation framework defines an extensible, configurable and griddable mechanism for valuing trades, positions or products using dynamically bound models. Models are bound at runtime to trades, positions or products based on any number of the attributes of those trades, positions or products. The market data required by each model as also dynamically bound at run time. While the framework is completely general in design, it is particularly useful when building configurable quantitative applications that require the dynamic configuration of models or valuation routines and market data. The valuation framework uses the grid model supported by the xweld-core module. The valuation framework does not contain production ready analytics out of the box, rather, it supports a flexible mechanism for an application to plug in any third-party or custom analytics library and focuses on supporting the configuration and binding between trades, positions and products and their associated models, values results and market data.

The module documentation is available here:

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Members

Administrator: John Free, John Free

Contributor: Hany Mesha, John Free, Rick Noel, Roger Dunn

Architect: Hany Mesha, John Free