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Quantitative Finance · Glossary

What is Analytics library?

Definition 19.1 Research, Data and Risk Platforms · Chapter 19 — Pricing-Library Architecture

An analytics library is the firm’s shared code for valuing and risk-managing instruments: market objects, models, numerical engines and instruments, separated so that each can be replaced or extended without the others, and called the same way by pricing tools, risk systems and research.

The library’s layers and the script engine’s place in them. A scripted instrument is an instrument; the script engine is an engine, registered for the Black–Scholes model; everything above — Greeks, scenarios, batches — applies unchanged.
Figure 19.1. The library’s layers and the script engine’s place in them. A scripted instrument is an instrument; the script engine is an engine, registered for the Black–Scholes model; everything above — Greeks, scenarios, batches — applies unchanged.
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