Embedding MATLAB Production Server into the OpenGamma Risk Analytics Platform
Joan Puig, OpenGamma
Taking MATLAB algorithms directly into a risk analytics environment, when done well, offers significant value for a financial organization while mitigating operational and model risks incurred from recoding. In this presentation, Joan demonstrates how you can rapidly and directly embed MATLAB components into the OpenGamma Platform. He shows how you can incorporate a MATLAB function into a MATLAB Production Server™ application, declare the Java interface, create the metadata to express input requirements, register the function in the function repository, and visualize the results in OpenGamma’s risk viewer. While easy to demonstrate and extremely agile on paper, this approach could disrupt a firm’s development process. The presentation concludes with some thoughts, based on Joan’s experiences as development manager at a European bank, about mitigating risk through incorporating into automated testing frameworks and ensuring resilient performance.
Recorded: 19 Sep 2013
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